COMP 150TSA Homework 3, due 19 October

  1. Do Problem 2.14. parts a and b on p. 80.
  2. Do some experiments to verify Bartlett's formula by simulating time series according to MA(1) and AR(1) models and calculating the sample autocorrelations of the simulated series. Run enough simulations to get a reasonable estimate of the mean and variance of the autocorrelations at lag 1 and 2. Each series should have at least 50 points, and each simulation should consist of at least 100 series. Turn in a clear report describing what experiments you did and analyzing the results.

Submit your code using

provide comp150tsa hw3 progfile

by 11:30 PM on the due date.