STAT479 Midterm: STAT 479 Exam 3

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31 Jan 2019
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Show fy ( ) = |a( )|2fx( ) + fu( ), where a( ) is the ift of {as}. 3. (a) de ne the power spectrum fx( ). (b) de ne the periodogram of data {xt}t t=1. Explain how the (raw) periodogram may be used to estimate the power spectrum, with an approximate bias of zero. What is the approximate variance of the estimator: consider the following simpli ed way to model a leading economic indicator. De ne the smoothed periodogram with smoothing parameter l, and explain why it might improve on the raw periodogram. Note: this is not something which was discussed in class.

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