2011-2012应用时间序列B卷答案

···················装·······················订······················线·····································院系专业年级班级姓名学号···················密·······················封·······················线·····································考生答题不得过此线第2页共5页考生答题不得过此线··················密······························封························线···························院系专业年级班级姓名学号··················装······························订························线···························第2页共2页课程代号：课程代号：潍坊学院2011-2012学年第一学期期末考试《应用时间序列分析》试卷（B卷）答案考生答题不得过此线··················密····························封·························线····························院系专业年级班级姓名学号··················装····························订·························线····························第1页共2页填空题（18分，每题3分）1.;2拖尾;3频域分析和时域分析;4.对任意的和任意的使得有与相同的联合分布；5矩估计、极大似然估计和最小二乘估计;6AIC和SBC;二、简答题（共22分，1题10分,2题12分）1．（本题10分）解：模型识别：即确定自回归模型阶数p和移动平均模型阶数q。2分（2）参数估计：即给出均值、自回归参数和移动平均参数，以及白噪音方差的估计值。3分（3）模型的检验和模型选择：对所选择的不同阶数p和q的值，重复估计步骤，直至选出最优模型为止。3分（4）应用信息准则法进行模型优化选择。2分2.（本题10分）解（1）时间序列分析方法强调变量值序列顺序的重要性；2分（2）时间序列各观察值之间存在一定的依存关系；3分（3）时间序列分析根据自身的变化规律来预测未来；3分（4）时间序列是一组随机变量的一次样本实现；2分（5）时间序列分析和回归分析的建模思路不同。2分三．证明题（共12分）证明：是具有周期T的函数，因而是有界函数，是区间(0,T)上均匀分布的随机变量，因而5分为常数，5分因而的二阶矩都存在，均值函数为常数，协方差函数只与t-s有关，因而为宽平稳过程。2分四．分析计算题（共44分，每题12分）1解：对计算可以得到：2分3分3分因此有2分所以当k>2时，，故对于AR(2)序列，偏自相关系数是两步截尾。2分2.（1）本模型本身即为传递模式6分（2）此模型的逆转形式：6分3解：由2分得：2分进一步得到：，由此得到关于的二次方程，解之得：，3分由于,因此为的矩估计。3分为的矩估计。