联系我们： 手动添加方式: 微信>添加朋友>企业微信联系人>13262280223 或者 QQ: 1483266981
这是一篇美国作业是统计数据分析计算的练习题
1. The weekly rates of return for five stocks listed on the New York Stock Exchange are given
in StockReturn.csv”.
(a) Construct the sample covariance matrix S, and find the sample principal components.
(b) Determine the proportion of the total sample variance explained by the first three prin-
cipal components. Interpret these components.
(c) Given the results in Parts (a)-(b), do you feel that the stock rates-of-return data can be
summarized in fewer than five dimensions Explain.
2. Consider a time series model:

where wt are i.i.d. with zero mean and variance 2. 0 and 1 are fixed constants.
(a) Is Xt weakly stationary
(b) Define Xt = Xt Xt 1. Is Xt weakly stationary
(c) Assume wt in is replaced by yt where yt is a weakly stationary process with mean y
and autocovariance y(h). Is Xt still weakly stationary