Homework (Secure)

Groups and ordering for class presentations

Group 1: Kurtis Shuler and Raquel Barata; Will present: problems 3, 5 and 7 from Chap 1, Homework #1 on Tu 01/24

Group 2: Eric Gentry, Sharmistha Guha; Will present problems 6, 13, 17 and 18 from HW2 on Tu 01/31.   

Group 3: Mickey Warner, Arthur Lui;  Will present the following problems from HW3 on Tu 02/21: Problems 3 & 4, Chapter 3 P&W. 

Group 4: Rui Meng, Xingchen Yu, Alex Terrenin; Will present the following problems from HW3 on Thu 02/23: Problem 21, Chapter 2 W&H and Problem 4.1 of Petris et al. 

Group 5: Isabel Grenier, Rene Gutierrez; HW4: W&H Chapter 8, problem 14 (You can use code from the DLM package or write your own).  

Group 6: Dan Spencer, Daniel Kirsner. HW4: W&H; Chapter 10, problem 7 (You can use code from the DLM package or write your own). 

Homework 1

Due on Tu 01/24

Prado & West: Chapter 1, Problems: 2, 3, 4, 5, 7; Chapter 2: Problem 1 (summation should begin at j=0).

For each of the Chapter 1 datasets posted here: (a) plot the data (b) plot the sample autocorrelation functions. For the SOI series: smooth the series using moving averages (try different orders and weights). For the USA GDP time series: plot the first and second differences and the corresponding sample autocorrelation functions. 

Comments about the homework:

Problem 5: assume that omega_0 i s fixed.

Problem 7: assume that d=1 and work with the conditional likelihood.

Homework 2

Due on Tu 01/31

Prado & West Chapter 2, problems: 3 (a), 4, 6 (assume reciprocal roots are distinct), 7 (it should be cos(w)=\phi_1/(2r), no absolute value), 8, 10, 13 (use the conditional likelihood), 17, 18, 19.

Homework 3

Due on Thu 02/22. See attached file. 

Note: Arthur and Mickey shared this github repository with code for their HW problems. 

Homework 4

Due on Thu 03/16; 

West & Harrison, Chapter 8:  3, 5, 6(a), 9, 10, 13, 14, 15, 16. 

West & Harrison, Chapter 9: 3, 4(a), 9

West & Harrison, Chapter 10: 1(a)-(b) and 1(d), 2, 7.