Zeitreihenanalyse - Aufgabe 4

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Moving average filters

Apply both the simple MA filter with w_0=w_1=\frac 1 3\, and the more sophisticated MA filter with w_0=\frac 1 2, w_1=\frac 1 3, w_2=-\frac{1}{12}\, to the log GDP and compare the results.

Apply both the simple MA filter with w_0=w_1=\frac 1 5\, and the Spencer filter to the log GDP and compare the results. 

pdf(rpdf, width=8, height=8)
gdpa=readdataSK("GDPA.csv", "csv")
gdpa=data.frame(year=as.numeric(substr(gdpa$DATE,1,4)), gdp=gdpa$VALUE)
gdpa=subset(gdpa, year>=1946)
GDP.ts=ts(gdpa$gdp, start=1946)
GDP.ls <- log(GDP.ts)

par(mfrow=c(2,2))

plot(filter(GDP.ls, c(1/3,1/3)), col=2, main="w=(1/3,1/3)")
plot(filter(GDP.ls, c(1/2,1/3,-1/12)), col=3, main="w=(1/2,1/3,-1/12)")

plot(filter(GDP.ls, c(1/5,1/5)), col=2, main="w=(1/5,1/5,1/5)")
#points(GDP.ls*3/5)

plot(filter(GDP.ls, c(74, 67, 46, 21, 3, -5, -6, -3)/320), col=3, main="Spencer")

#points(GDP.ls*sum(c(74, 67, 46, 21, 3, -8)/320))

#

Complex Numbers

(ii)

\begin{align} \overline{z_1 z_2} & = \overline{x_1 x_2 + i x_2 y_1 + i x_1 y_2 + i^2 y_1 y_2} \\ & = \overline{(x_1 x_2 - y_1 y_2) + i(x_2 y_1 + x_1 y_2)} \\ & = (x_1 x_2 - y_1 y_2) - i(x_2 y_1 + x_1 y_2) \\ & = (x_1 - i y_1) (x_2 - i y_2) \\ & = \overline{z_1} \overline{z_2} \end{align} \,

(iii)

\overline{\overline{z_1}} = \overline{\overline{x_1 + i y_1}} = \overline{x_1 - i y_1} = x_1 - i y_1 = z_1 \,

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