Introduction to Time Series and Forecasting【solution manual 】

46

Transcript of Introduction to Time Series and Forecasting【solution manual 】

Page 1: Introduction to Time Series and Forecasting【solution manual 】
Page 2: Introduction to Time Series and Forecasting【solution manual 】
Page 3: Introduction to Time Series and Forecasting【solution manual 】
Page 4: Introduction to Time Series and Forecasting【solution manual 】
Page 5: Introduction to Time Series and Forecasting【solution manual 】
Page 6: Introduction to Time Series and Forecasting【solution manual 】
Page 7: Introduction to Time Series and Forecasting【solution manual 】
Peter J Brockwell
Page 8: Introduction to Time Series and Forecasting【solution manual 】
Peter J Brockwell
Page 9: Introduction to Time Series and Forecasting【solution manual 】
Peter J Brockwell
Page 10: Introduction to Time Series and Forecasting【solution manual 】
Page 11: Introduction to Time Series and Forecasting【solution manual 】
Page 12: Introduction to Time Series and Forecasting【solution manual 】
Page 13: Introduction to Time Series and Forecasting【solution manual 】
Page 14: Introduction to Time Series and Forecasting【solution manual 】
Page 15: Introduction to Time Series and Forecasting【solution manual 】
Page 16: Introduction to Time Series and Forecasting【solution manual 】
Page 17: Introduction to Time Series and Forecasting【solution manual 】
Page 18: Introduction to Time Series and Forecasting【solution manual 】
Page 19: Introduction to Time Series and Forecasting【solution manual 】
Page 20: Introduction to Time Series and Forecasting【solution manual 】
Page 21: Introduction to Time Series and Forecasting【solution manual 】
Page 22: Introduction to Time Series and Forecasting【solution manual 】
Page 23: Introduction to Time Series and Forecasting【solution manual 】
Page 24: Introduction to Time Series and Forecasting【solution manual 】
Page 25: Introduction to Time Series and Forecasting【solution manual 】
Page 26: Introduction to Time Series and Forecasting【solution manual 】
Page 27: Introduction to Time Series and Forecasting【solution manual 】
Page 28: Introduction to Time Series and Forecasting【solution manual 】
Page 29: Introduction to Time Series and Forecasting【solution manual 】
Page 30: Introduction to Time Series and Forecasting【solution manual 】
Page 31: Introduction to Time Series and Forecasting【solution manual 】
Page 32: Introduction to Time Series and Forecasting【solution manual 】
Page 33: Introduction to Time Series and Forecasting【solution manual 】
Page 34: Introduction to Time Series and Forecasting【solution manual 】
Page 35: Introduction to Time Series and Forecasting【solution manual 】
Page 36: Introduction to Time Series and Forecasting【solution manual 】
Page 37: Introduction to Time Series and Forecasting【solution manual 】
Peter J Brockwell
Page 38: Introduction to Time Series and Forecasting【solution manual 】
Peter J Brockwell
Peter J Brockwell
Page 39: Introduction to Time Series and Forecasting【solution manual 】

5.5 3000 observations of a Gaussian MA(1) with coefficient 0.6 and WNV=1.0were generated using ITSM. The option Transform>Subsequence allowsyou to pick out the independent subsamples 1-200, 301-500, …, 2701-2900,and get independent estimates for each of these ten samples of length 200.Using the seed 1111111111 gives the results below. Notice that the momentestimator is conveniently calculated in Excel by pasting in the sample ACFat lag 1 and computing the moment estimator from the explicit formula onp. 146.

Simulation rho(1)hat thetahat Moments Innov. Alg. MLE1 0.3901 0.479966 0.48 0.592 0.66862 0.4001 0.500208 0.5002 0.5909 0.61353 0.4611 0.665026 0.665 0.5649 0.5574 0.4569 0.649853 0.6499 0.6567 0.615 0.5489 #NUM! 1 0.755 0.67716 0.464 0.676099 0.6761 0.548 0.48597 0.4274 0.562754 0.5628 0.5284 0.55218 0.4238 0.553757 0.5538 0.6318 0.63789 0.3825 0.46532 0.4653 0.5324 0.5741

10 0.3611 0.426912 0.4269 0.5103 0.5581Sample variance = 0.027606 0.005475 0.003502Sample mean = 0.598 0.59104 0.59342

Asymptotic theory: 0.023704 0.005 0.00320.6 0.6 0.6

The MLE is clearly best in terms of sample variance and the moment estimator is worst.The empirical means and variances of the estimators are in good agreement with theasymptotic theory.

Peter J Brockwell
Page 40: Introduction to Time Series and Forecasting【solution manual 】
Page 41: Introduction to Time Series and Forecasting【solution manual 】
Page 42: Introduction to Time Series and Forecasting【solution manual 】
Peter J Brockwell
Page 43: Introduction to Time Series and Forecasting【solution manual 】
Page 44: Introduction to Time Series and Forecasting【solution manual 】
Page 45: Introduction to Time Series and Forecasting【solution manual 】
Page 46: Introduction to Time Series and Forecasting【solution manual 】

Forecasting Hierarchical Time Series

Forecasting Hierarchical Time Series

MULTIVARIATE TIME SERIES & FORECASTING

MULTIVARIATE TIME SERIES & FORECASTING

TIME SERIES FORECASTING FOR OUTDOOR ...series forecasting. Keywords: Artificial Neural network (ANN), multi-step ahead forecasting, Nonlinear Autoregressive (NARX) model, Outlier Detection,

TIME SERIES FORECASTING FOR OUTDOOR ...series forecasting. Keywords: Artificial Neural network (ANN), multi-step ahead forecasting, Nonlinear Autoregressive (NARX) model, Outlier Detection,

A robust functional time series forecasting method2 A functional time series forecasting method We introduce a novel method for forecasting functional time series when data are free

A robust functional time series forecasting method2 A functional time series forecasting method We introduce a novel method for forecasting functional time series when data are free

Fuzzy Time Series Forecasting

Fuzzy Time Series Forecasting

Elements of Forecasting Solution

Elements of Forecasting Solution

Forecasting & time series data

Forecasting & time series data

Lecture 5 Time-Series Forecasting (cont’d) Business and Economic Forecasting.

Lecture 5 Time-Series Forecasting (cont’d) Business and Economic Forecasting.

Automatic Time Series Forecasting: The forecast Package · PDF fileAutomatic Time Series Forecasting: The forecast ... 2 Automatic Time Series Forecasting: The forecast Package for

Automatic Time Series Forecasting: The forecast Package · PDF fileAutomatic Time Series Forecasting: The forecast ... 2 Automatic Time Series Forecasting: The forecast Package for

Lecture 2 Time Series Forecasting

Lecture 2 Time Series Forecasting

Building a Demand Forecasting Solution using IBM FOPM to ... a Demand Forecasting Solution u… · Building a Demand Forecasting Solution using IBM FOPM to improve Accuracy and Coverage

Building a Demand Forecasting Solution using IBM FOPM to ... a Demand Forecasting Solution u… · Building a Demand Forecasting Solution using IBM FOPM to improve Accuracy and Coverage

Project Cost Forecasting in SAP Solution Overview

Project Cost Forecasting in SAP Solution Overview

Monash Time Series Forecasting Archive

Monash Time Series Forecasting Archive

SAP Forecasting & Replenishmentfm.sap.com/data/UPLOAD/files/SAP Forecasting and Replenishment... · SAP Forecasting & Replenishment Solution Update and Outlook Forecasting and Replenishment

SAP Forecasting & Replenishmentfm.sap.com/data/UPLOAD/files/SAP Forecasting and Replenishment... · SAP Forecasting & Replenishment Solution Update and Outlook Forecasting and Replenishment

Introduction to Time Series Forecasting

Introduction to Time Series Forecasting

Building a Demand Forecasting Solution using IBM …veracitiz.com/Building a Demand Forecasting Solution using IBM FOPM... · Building a Demand Forecasting Solution using IBM FOPM

Building a Demand Forecasting Solution using IBM …veracitiz.com/Building a Demand Forecasting Solution using IBM FOPM... · Building a Demand Forecasting Solution using IBM FOPM

Time Series Forecasting Methods - Sas Institute › content › dam › SAS › en_ca › User... · Introduction Univariate Forecasting Conclusions Time Series Forecasting Methods

Time Series Forecasting Methods - Sas Institute › content › dam › SAS › en_ca › User... · Introduction Univariate Forecasting Conclusions Time Series Forecasting Methods

1 - Chap 10 Chapter 10 Forecasting Overview of Forecasting Techniques The Time-Series Forecasting Methods in Perspective Case Study: Applying Time-Series.

1 - Chap 10 Chapter 10 Forecasting Overview of Forecasting Techniques The Time-Series Forecasting Methods in Perspective Case Study: Applying Time-Series.

Forecasting uncertainty: the ensemble solution

Forecasting uncertainty: the ensemble solution

GE Wind Forecasting Solution

GE Wind Forecasting Solution