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Unformatted text preview: X t = 0 . 5 X t1 + Z t . 4. Compute the autocorrelation function of the following autoregressive process: X t = 1 3 X t1 + 2 9 X t2 + Z t . 5. Suppose the stationary process { X t } has autocovariance function X ( k ). Dene a new stationary process { Y t } by Y t = X tX t1 . Find the autocovariance function of { Y t } in terms of X ( k ) and obtain Y ( k ) when X ( k ) =  k  . 6. Show that the autocorrelation function of the mixed ARMA(1,1) model X t = X t1 + Z t + Z t1 is given by (1) = (1 + )( + ) 1 + 2 + 2 ( k ) = ( k1) for k = 2 , 3 , 4 , . . . 1...
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This note was uploaded on 10/19/2009 for the course MATH 611 taught by Professor Jsdkasj during the Spring '09 term at Kansas.
 Spring '09
 jsdkasj

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