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Unformatted text preview: ∇ x t = x t ± x t-1 is stationary by ﬁnding its mean and autocovariance function. 2. (2 points each) For a moving average process of the form x t = w t-1 + 2 w t + w t +1 where w t are independent with zero means and variance σ 2 w , determine the autocovariance and autocorrelation function of lag h = s ± t and plot. 3. (2 points) Consider the series x t = sin(2 πut ) , t = 1 , 2 , ··· , where u has a uniform probability distribution on the interval (0,1) Prove x t is weakly stationary....
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This note was uploaded on 05/01/2009 for the course PSTAT 120A taught by Professor Mackgalloway during the Spring '08 term at UCSB.
- Spring '08