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Unformatted text preview: tionary, giving full justication X t = 13 4 X t13 4 X t2 + t . 1 5. HARDER QUESTION Let { X t } be the zero mean autoregressive process of order 2 dened by X t( g 1 + g 2 ) X t1 + g 1 g 2 X t2 = t , where  g 1  ,  g 2  < 1 , and { t } is white noise with mean zero and variance 2 . (a) Explain why { X t } is stationary. (b) Show that { X t } can be written in the general linear model form X t = 1 g 2g 1 ! X k =0 g k +1 2g k +1 1 tk . (c) Hence show that the autocovariance sequence takes the form s = 2 g 2g 1 ! g   +1 2 (1g 2 1 )g   +1 1 (1g 2 2 ) (1g 2 1 )(1g 2 2 )(1g 1 g 2 ) = 0 , 1 , 2 , ... 2...
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 Spring '09
 jsdkasj
 Covariance, Variance

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