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- A time series with a periodic component can be constructed fromxt = U1 sin(2πω0t) + U2 cos(2πω0t),where U1 and U2 are independent random variables with zero means andE(U21 ) = E(U22 ) = σ2. The constant ω0 determines the period or time ittakes the process to make one complete cycle. Show that this series is weaklystationary with autocovariance functionγ(h) = σ2 cos(2πω0hFind the power series representing the function 1/ (z-5) in the region |z - 4| < 1 .Let i_t denote the effective annual return achieved on an equity fund achieved between time (t -1) and time t. Annual log-returns on the fund, denoted by In(1 + i_t) , are assumed to form a series of independent and identically distributed Normal random variables with parameters u = 6% and o = 14%.An investor has a liability of £10,000 payable at time 15. Calculate the amount of money that should be invested now so that the probability that the investor will be unable to meet the liability as it falls due is only 5%. Using only formulas, no tables
- Show that the random process X(t) =cos(2π fot + θ) Where θ is an random variable uniformly distributed in the range {0, π/2, π, π/3} is a wide sense stationary process .In a video game with a time slot of fixed length T, signals are generated according to a Poisson process with rate λ, where T > 1/λ. During the time slot you can push a button only once. You win if at least one signal occurs in the time slot and you push the button at the occurrence of the last signal. Your strategy is to let pass a fixed time s with 0 < s < T and push the button upon the first occurrence of a signal (if any) after time s. What is your probability of winning the game? What value of s maximizes this probability?1. Let X be a Poisson random variable with E[X] = ln2. Calculate E[cosπX]. 2. The number of home runs in a baseball game is assumed to have a Poisson distribution with a mean of 3. As a promotion, Mall A pledges to donate 10,000 dollars to charity for each home run hit up to a maximum of 3. Find the expected amount that the company will donate. Mall B also X dollars for each home run over 3 hits during the game, and X is chosen so that the Mall B's expected donation is the same as the Mall A's. Find X.
- Choose a point at random in (0,1), then this point divides the interval (0,1) into two subintervals. What is the expected length of the subinterval covering a given point s with 0 < s < 1?Define Power Series e^x?2a) The number of flowers per square meter in Sarah’s garden has a Poisson distribution with mean 0.35. Her garden is covered with 150 square meters of grass. Find lambda λ? 2b) The number of flowers per square meter in Sarah’s garden has a Poisson distribution with mean 0.35. Her garden is covered with 150 square meters of grass. Using Normal approximation, we will need to find the probability that the Sarah’s garden will contain less than 45 flowers. First graph and answer what is the continuity correction? 2c) Using the previous results for lambda and continuity correction, find z, then graph and use your table to find φ table value of z Write down your final answer for the probability that Sarah’s garden will contain less than 45 flowers as a decimal number with 4 decimal places.
- Find Taylor series at x = 0 for the functions 1/1 - 2xGive power series f'(x).1i. Suppose that a structure can withstand a flood with a peak discharge no greater than 1,950 m3/s and it has been designed to have an economic life span of 100 years. Determine the risk of failure assuming the Extreme Value Distribution when the mean and standard deviation of the annual flood series are 410m3/s and 280 m3/s, respectively. 1ii. What is the probability that at least one flood of ARI 50y (T=50y) will occur during the 30 year design life of a flood control project? 1iii. Consider a small, temporary (3 year design life) flood mitigation dam designed to contain a 20 year flood event. What is the risk that it will be overtopped at least once in the design life.