Question 1.1.

This question uses basic properties of covariance P1–P4 which are given in the homework. Many students will complete it without requiring collaboration or online sources. Simply saying “No sources used” is acceptable if that is the case.

\[\begin{eqnarray} \mathrm{Var}\left(\widehat{\mu}\left(Y_{1:N}\right)\right)&=&\mathrm{Var}\left(\frac{1}{N}\sum_{n=1}^{N}Y_{n}\right) \\ &=&\frac{1}{N^{2}}\mathrm{Cov}\left(\sum_{m=1}^{N}Y_{m},\sum_{n=1}^{N}Y_{n}\right) \mbox{ using P1 and P3} \\ &=&\frac{1}{N^{2}}\sum_{m=1}^{N}\sum_{n=1}^{N}\mathrm{Cov}\left(Y_{m},Y_{n}\right) \mbox{ using P4} \\ &=&\frac{1}{N^{2}}\left(N\gamma_{0}+2\left(N-1\right)\gamma_{1}+\ldots+2\gamma_{N-1}\right) \mbox{ using P2 to give $\gamma_h=\gamma_{-h}$} \\ &=&\frac{1}{N}\gamma_{0}+\frac{2}{N^{2}}\sum_{h=1}^{N-1}\left(N-h\right)\gamma_{h} \end{eqnarray}\]


Question 1.2.

This question is not straightforward, and most students are expected to make use of collaboration and/or online sources. This solution is based on ionides.github.io/531w21/hw01/sol01.html. It is okay to look at the previous solution, if you acknowledge it. In that case, it is appropriate for your report to discuss the relationship between your work and the previous solution. See the ../rubric_homework.html for more discussion of this.

If you work things out without consulting any sources, and say so, that is permitted. However, strong academic writing connects your own work to the wider academic community and uses relevant citations to support your arguments. Think of your homework report as a small piece of academic writing. You can reference the notes [1] or Shumway and Stoffer (2017) [2] where appropriate.

Referencing Wikipedia is acceptable. Indeed, Wikipedia is often a good source. It is so widely used that if you find a problem with the Wikipedia article, or an inconsistency between the Wikipedia version and other sources, that is well worth comment. References do not need to be internet accessible. For example, it could be a paper book. However, most references nowadays are online.

Now moving on to the solution. By definition, \[ \widehat{\gamma}_{h}\left(y_{1:N}\right)=\frac{1}{N}\sum_{n=1}^{N-h}\left(y_{n}-\widehat{\mu}_{n}\right)\left(y_{n+h}-\widehat{\mu}_{n+h}\right). \] Here, we consider the null hypothesis where \(Y_{1:N}\) is independent and identically distributed with mean \(0\) and standard deviation \(\sigma\). We therefore use the estimator \(\widehat\mu_n=0\) and the autocovariance function estimator becomes \[\begin{eqnarray} \widehat{\gamma}_{h}\left(y_{1:N}\right) &=& \frac{1}{N}\sum_{n=1}^{N-h}y_{n}y_{n+h}, \end{eqnarray}\] We let \(\sum_{n=1}^{N-h}Y_{n}Y_{n+h}=U\) and \(\sum_{n=1}^{N}Y_{n}^{2}=V\), and carry out a first order Taylor expansion [3] of \[\widehat\rho_h(Y_{1:N}) = \frac{\widehat\gamma_h(y_{1:N})}{\widehat\gamma_0(y_{1:N})} = \frac{U}{V}\] about \((\mathbb{E}[U],\mathbb{E}[V])\). This gives \[ \widehat{\rho}_{h}(Y_{1:N}) \approx\frac{\mathbb{E}\left(U\right)}{\mathbb{E}\left(V\right)}+\left(U-\mathbb{E}\left(U\right)\right)\left.\frac{\partial}{\partial U}\left(\frac{U}{V}\right)\right|_{\left(\mathbb{E}\left(U\right),\mathbb{E}\left(V\right)\right)}+\left(V-\mathbb{E}\left(V\right)\right)\left.\frac{\partial}{\partial V}\left(\frac{U}{V}\right)\right|_{\left(\mathbb{E}\left(U\right),\mathbb{E}\left(V\right)\right)}. \] We have \[ \mathbb{E}\left(U\right)=\sum_{n=1}^{N-h}\mathbb{E}\left(Y_{n}\, Y_{n+h}\right)=0, \] \[ \mathbb{E}\left(V\right)=\sum_{n=1}^{N}\mathbb{E}\left(Y_{n}^{2}\right)=N\sigma^{2}, \] \[ \frac{\partial}{\partial U}\left(\frac{U}{V}\right)=\frac{1}{V}, \] \[ \frac{\partial}{\partial V}\left(\frac{U}{V}\right)=\frac{-U}{V^{2}}. \] Putting this together, we have \[\begin{eqnarray} \widehat{\rho}_{h}(Y_{1:N})&\approx&\frac{\mathbb{E}\left(U\right)}{\mathbb{E}\left(V\right)}+\frac{U}{\mathbb{E}\left(V\right)}-\frac{\left(V-\mathbb{E}\left(V\right)\right)\mathbb{E}(U)}{\mathbb{E}(V)^{2}} \\ &=&\frac{U}{N\sigma^{2}}. \end{eqnarray}\] This gives us an approximation, \[ \mathrm{Var}\left(\widehat{\rho}_{h}(Y_{1:N})\right)\approx\frac{\mathrm{Var}\left(U\right)}{N^{2}\sigma^{4}}. \] We now look to compute \[ \mathrm{Var}\left(U\right)= \mathrm{Var}\left(\sum_{n=1}^{N-h}Y_{n}Y_{n+h}\right). \] Since \(Y_{1:N}\) are independent and mean zero, we have \(\mathbb{E}[Y_{n}Y_{n+h}] = 0\) for \(h\neq 0\). Therefore, for \(m\neq n\), \[ \mathrm{Cov}\left(Y_{m}Y_{m+h},Y_nY_{n+h}\right) = \mathbb{E}\left[ Y_{m}Y_{m+h}\, Y_nY_{n+h}\right] = 0. \] Thus, the terms in the sum for \(\mathrm{Var}\left(U\right)\) are uncorrelated for \(m\neq n\) and we have \[\begin{eqnarray} \mathrm{Var}\left(U\right) &=& \sum_{n=1}^{N-h} \mathrm{Var}\left(Y_nY_{n+h}\right) \\ &=& (N-h) \, \mathbb{E}\left[Y_n^2Y_{n+h}^2\right] \\ &=& (N-h) \, \sigma^4 \end{eqnarray}\] Therefore, \[ \mathrm{Var}\left(\widehat{\rho}_{h}(Y_{1:N})\right)\approx\frac{\left(N-h\right)}{N^{2}} \] When \(N\rightarrow\infty\), \(\mathrm{Var}\left(\widehat{\rho}_h(Y_{1:N})\right)\rightarrow\frac{1}{N}\), justifying a standard deviation under the null hypothesis of \(1/\sqrt{N}\).

B. A 95% confidence interval is a function of the data that constructs a set which (under a specified model) covers the true parameter with probability 0.95. [4]


References.

  1. Notes for STATS/DATASCI 531, Modeling and Analysis of Time Series Data

  2. Shumway, R.H., and Stoffer, D.S., 2017. Time series analysis and its applications (4th edition). New York: Springer.

  3. LibreTexts, Taylor Polynomials of Functions of Two Variables, Equation (4)

  4. https://en.wikipedia.org/wiki/Confidence_interval#Definition