Summer 2004 Final Project (Due August 5)
The purpose of this project is to provide a complete analysis of your
data set. If you still don't have one or if the one you are analyzing
has no structure (i.e. it is white noise or a random walk), please try
to find another.
Write a function that does the analysis described below and email to me
the function and the data set. Write a report (using Microsoft Word
or some similar program; incorporate the plots into the report) that
A description of the data, i.e. where it comes from, what the numbers
represent, and what scientific questions are to be answered using time
Descriptive statistics, i.e., plots of the data and the three
descriptive statistics we discussed. Comment on what these plots mean
about the data.
Transformations, i.e., if you feel that your data contain trends and/or
cycles, try out any transformations that you feel may be
useful. Provide descriptive statistics for the transformed data and
comment on whether or not they indicate that the result is adequately
detrended. If you feel that your data has disturbed periodicities,
don't try to remove them using detrending.
A spectral density estimate for your detrended (if it was necessary)
data. Plot the periodogram and use the WINDSP3 and
ARSP functions to obtain possible estimates. Give any comments
you can from scientific knowledge on which you feel is best and what
the estimates tell you about your data.
Try to choose a full or subset ARMA model that adequately fits your
detrended data. You will find the IDNEW function and the
ARMASEL command useful in this regard. Make sure to provide the
value of AIC for any model that you might think is valid. In order to
verify the adequacy of your model, provide the following diagnostics:
Use SEASEST to get residuals from the model and give the results
of the WNTEST function and the QTEST and BARTTEST
functions for tests of white noise on the residuals.
Obtain forecasts of the next 24 values of your series using the model
you found in (5). The PREDS function will be useful for doing this.
Write a summary of your results which answers the scientific questions
posed in part (1).
Please be as brief as you can and please try to use as little paper as
possible (for example, put more than one graph on a page if
possible). It will be very difficult for me to read all of the
projects so brevity will help me!
Good Luck and please let me know if you are having difficulty in
completing the project.
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