In this question you will consider properties of sample estimators in time series context and perform inference and testing. You may use R to assist you in calculations, but you should state the formula of any estimator you are calculating as well as the value you obtain for the estimator, and if R is used, the R command utilised. You can either obtain the solution by calculator or by R. You are given T = 15 samples from a time series: {y₁,..., y15} = {-0.92, 1.08, 0.20, -0.63, 1.36, 1.33, —1.06, 0.11, -1.00, -0.68, 1.81, 1.71, 0.93, −0.75, −2.16} (b) Apply a relevant hypothesis test based on the sample ACF to determine if the time series is statistically different from White Noise based on this sample observation. Describe the Null and Alternative hypothesis, state the relevant test statis- tic and the distribution of this test statistic under the Null (asymptotic distribution), write an expression for the p-value or the decision region and finally state the outcome of your inference testing procedure. Remark on the effect of such a small sample size on this conclusion.

MATLAB: An Introduction with Applications
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In this question you will consider properties of sample estimators
in time series context and perform inference and testing. You
may use R to assist you in calculations, but you should state the
formula of any estimator you are calculating as well as the value
you obtain for the estimator, and if R is used, the R command
utilised. You can either obtain the solution by calculator or by R.
15 samples from a time series:
You are given T
{y₁,..., y15}
=
= {-0.92, 1.08, 0.20, -0.63, 1.36, 1.33, -1.06,
0.11, -1.00, -0.68, 1.81, 1.71, 0.93,-0.75, -2.16}
(b) Apply a relevant hypothesis test based on the sample ACF
to determine if the time series is statistically different from
White Noise based on this sample observation. Describe the
Null and Alternative hypothesis, state the relevant test statis-
tic and the distribution of this test statistic under the Null
(asymptotic distribution), write an expression for the p-value
or the decision region and finally state the outcome of your
inference testing procedure. Remark on the effect of such a
small sample size on this conclusion.
Transcribed Image Text:In this question you will consider properties of sample estimators in time series context and perform inference and testing. You may use R to assist you in calculations, but you should state the formula of any estimator you are calculating as well as the value you obtain for the estimator, and if R is used, the R command utilised. You can either obtain the solution by calculator or by R. 15 samples from a time series: You are given T {y₁,..., y15} = = {-0.92, 1.08, 0.20, -0.63, 1.36, 1.33, -1.06, 0.11, -1.00, -0.68, 1.81, 1.71, 0.93,-0.75, -2.16} (b) Apply a relevant hypothesis test based on the sample ACF to determine if the time series is statistically different from White Noise based on this sample observation. Describe the Null and Alternative hypothesis, state the relevant test statis- tic and the distribution of this test statistic under the Null (asymptotic distribution), write an expression for the p-value or the decision region and finally state the outcome of your inference testing procedure. Remark on the effect of such a small sample size on this conclusion.
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