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ANLT 207
Time Series Analysis
Assignment #2
For all problems below, show your work with a PY or an IPYNB file.
1 Assume the 'robberies.csv' dataset from Brownlee Chapter 30:
a. Perform a Dickey-Fuller test on the series. Is the series stationary? 2
b. Detrend the series with a polynomial fit (up to order 3) 5
c. At what polynomial order does the detrended series become stationary? 3
d. Perform differencing on the original series to induce stationarity 4
e. At what order of differencing does the series become stationary? 1
15 pts.
2 Assume the 'champagne.csv' dataset from Brownlee Chapter 32:
a. Perform a Dickey-Fuller test on the series. Is the series stationary? 1
b. Perform seasonal differencing to eliminate seasonality 1
c. Is the resulting series stationary? 1
d. Perform a seasonal decomposition on the original series and plot the results 2
e. Plot a 1 year period (Jan-Dec) for only the seasonal component 5
10 pts.
3 Assume the 'series.csv' dataset:
a. Using ACF & PACF plots, estimate the ARMA(p,q) order 5 pts.
b. Going with your answer for p, calculate the a1
- ap
coefficients using the Yule-Walker equations 15 pts.
(Hint: np.linalg.det(matrix) makes calculating determinants easy)
4 The sunspot cycle is estimated at 11 years. Based on the ACF of the "Monthly Sunspots" dataset, 5 pts.
what is the sunspot cycle to the nearest month?
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