CAS Exam MAS-I Fall 2019, Question 41
Study guide: Exam MAS-II
Two time series (X and Y) are shown in the graph below:
The autocorrelation variance function (acvf) and cross covariance function (ccvf) are estimated at lags 0, 1, 2 & 3 in the table below.
| Lag | acvf(x) | acvf(y) | ccvf(x,y) |
|---|---|---|---|
| 0 | 4.165 | 4.655 | 2.626 |
| 1 | 1.594 | 1.960 | 3.422 |
| 2 | 1.123 | 0.518 | 0.950 |
| 3 | 0.478 | 1.064 | 0.389 |
Calculate the sample lag 1 cross-correlation.
- A) Less than 0.30
- B) At least 0.30, but less than 0.55
- C) At least 0.55, but less than 0.80
- D) At least 0.80, but less than 1.05
- E) At least 1.05
Answer this question and see the worked solution