时间序列模拟试卷1.docx

一、单项选择题1. 关于严平稳与(宽)平稳的关系，不正确的为 A )A. 严平稳序列一定是宽平稳序列B. 当序列服从正态分布时，两种平稳性等价C. 二阶矩存在的严平稳序列一定为宽平稳的D. MA(p)模型一定是宽平稳的2. 下图为某时间序列的相关检验图，图1为自相关函数图，图2为偏自相关函数图,请选择模型 ( C )图1Autocorrelat i &nstwo standard errcrs：Std Error00.0863811.0000010.0313930.3634220.0229940.2681930.0195790.2266640.0183330.2122450.0168400.1891660.0179160.2074070.0125430.1452080.00314910.036469O.0137G70.15937100.0140970.16320110.0106130.12286120.00878840.1017413-0.0001808-.0020914-0.0022315-.02583150.000395230.0045816-0.0028539-.0330417-0.013381-.1550218-0.012922-.14959Covar i anceCor re I at icin■ hilnla ill ■IiiJ.iiJ.i ill ill iJ.ii lull ilnhili ill ill iliiliili■ P |l>Tn|l IJ11 |«1| 1I| 1 lyil fll 1 H|B 1,1 ■T*I|iiTb■ Ii ill 11 ■ ill mil ill ill■ |l l|lijll|ll|l 1 |ll| 1■■ Ii ill ■ 1 ■ ill ■ 11■ 1111 ■ 11 ■ i|i«|i■ Ii ■■■ ■ 1 ■ ill ■ 11 ■TiiT“T・iTi・Ti .申邯水申・邵 ・■ it:■-1 9 8 7 6 5 4 3 2 1 0 1 2 3 4 B 6 7 8 9 100.116248 0.130702 0.137834 0.1427S2 0. M6983 ft.150237 0.154058 0.155896 Q.15G011 0.150196 0.160455 a.161721 a.162584 a.162584 5.162640 0.162641 0.162732 0.164716图2Psirt ial Autocar re I at ionsLag Correlation -1 9 8 7 6 5 4 3 2 1 0 1 2 3 4 5 G 7 8 9 1123-D.38908D.17971D.0022eIII III lllllllll III I III II4-D.04428・ it5-D.06941・ *6-D.12062■ 栅1D.019688D.004899-D.056501 *10D.00871110.1428012-D.00941130.0919&■脚 ,14D.1669315-C.0012316D.22069170.05281■半 ・18-D.10519.sum■A. AR(1) B. AR(2)3. 下图中，图3为某序列一阶差分后的自相关函数图，图4为某序列一阶差分后的偏自相关函数图，请对原序列选择模型 。

D )图3ftutocorre I alionsLsigCovarianceCor re I at ion -■13 8 7 6 5 4 3 2 1 0 1 2 3 4 56 7 8 9 1Std Error0139.7981.00000ill ill ill ill ill all ill ila ill ill ill ill ill ill ill ill ill ill ill ill 11«iT，*T*■■■ m* iT1* I111 •*T, 'T111 ■ • 11 *TB'T1 "T1 *01-54.504114-.38988ill »li ill ill ill ill ill ill itibTiiTii| uTi iTu ■■0.119523242.553G090.30439山山JjlJj山1| 1 1 |1 1|1 1 |B I|1 B|l0.1364873-23.144178-.165550.14586349.8864020.07072!+! ・0.1485235-13.565875-.09704■ 出出0.1490036-e.578E6D-.04706. *0.14990374.9450820.03537:+： ・0.1501148075359-.04346■ 岀0.1502339-0.670433-.004800.150413102.0121280.01439■■0.1504151115.3661780.10992!B!4! ・0.15043512-3.615073-.068780.1515781820.6948890.14803艸m .0.152023145.0003670.035770.154068marks two 吐sindard errors图4The 凸RIM凸 ProcedurePart ial ^utocorrelat ionsLag Correlation -1987654321012845678311-0.50372■ IiiIiiIi ill ill ill i lull ilnli■ 1111■ 'T*u1 'T1111 n ■■T1 'T11112-0.176583-0.314E8ill ill ill ill ill ill ||||||||Illi|||| ||4-0.26277I 11 ill ill ill 1 II 11||| lip |||| II5-0.15323■ ：l：：｝：：4：60.042fi37-0.15105■ ；+；；+；；+；；+；80.120S790.05047■■10-O.OG99611-0.15282.栅Hi12-0.24937ill ill ill ill ill■ |11| Illi 1| 11 |1130.09607140.10802A.ARIMA(4, 1, 0) B. ARIMA(0, 2, 1)C. ARIMA(0, 1, 2) D.ARI MA(0, 1, 4)4.记B为延迟算子，则下列不正确的是(B )A. B0 =1B. X —X = (1 —kB) kXtt—ktC. BXt—1=Xt—2D. B (X土 Y ) = Xt t t土 Y—1 t—15•对于平稳时间序列，下列错误的是 (D )A. Q2E(e2) B. Cov(y ,y ) = Cov(y ,y )1 t t+k t t—kD. y (k +1)二 y (k)t t+1C. p = pk — k6•下图为对某时间序列的拟合模型进行显著性水平a = 0.05的显著性检验，请选择 该序列的拟合模型 。

（ A ）ChiSquareDFPr >L-l 1 1 C-HHU r r i y. I i iji in：4.6050.46700.0720.155-0.043-0.046-0.122-0.1117.00110.79910.015-0.057-0.031D.0940.1200.02714.45170.63470.1570.0940.033(.179-0.C73-0.04318.24230.7443-0.047-0.010-0.005-D.110-0.077-0.123Autocorrelaticn Check of ResidualsCondit i onalLeeiat Squares Est i mationParameterEmt i mateSt andardError t ?alueripp「OH Pr > |MU 51.2C1&9 0.S22SCAR1J -0.42481 0.115615 75 8FD- 3LO ■c.0001 a0.0005 1Const ant EstimatuVari anue Est i mateSid ErrEst imateMCSBC ,Number of ResidualsHi AIC ind SBC do not include73.03829120.073510.95781E35.709G540.286670log determinsiiTtA. X 二 51.26169 - 0.42481 X + at t—1 tB. X 二 73.03829 — 0.42481 X + at t —1 tC. X 二 51.26169 + a + 0.42481at t t—1D. X 二 73.03829 + a + 0.42481at t t —1二、检验下列模型的平稳性与可逆性，写出详细过程。

每小题4分，共16分）1. X = —2 X + at t—1 t2. X = a — 0.7at t t—13 X = 1.5 X + a — 0.4 at t—1 t t—14 X = 1.4 X — 0.4 X + a — 0.5 at t—1 t—2 t t—1三、解差分方程(每小题3分，共6分)1 x — 2 x = 02 x — 5 x + 6 x = 02 t+2 t+1 。