Midterm part 1

Midterm part 1 - t =Z t bZ t-3(1 where Zt ~ WN(0,1 Such an...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
1. If X t and Y t are uncorrelated (weakly) stationary sequences, i.e., if X r and Y s are uncorrelated for every r and s, show that X t +Y t is (weakly) stationary with autocovariance function equal to the sum of the autocovariance functions of X t and Y t . Let W t = X t +Y t , Uncorrelated = indepedent 2. Let {Xt} satisfy the equation X
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: t =Z t + bZ t-3 , (1) where Zt ~ WN(0,1). Such an equation (1) is called a moving-average model of order 3, or an MA(3) model. a) Find the autocovariance functions of X t when b=-0.6; b) Find the autocorrelation functions of X t when b=-0.6....
View Full Document

This note was uploaded on 05/26/2010 for the course STAT 443 taught by Professor Yuliagel during the Winter '09 term at Waterloo.

Ask a homework question - tutors are online