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Unformatted text preview: , 2 ), compute the following quantities: (a) Autocovariance functions ( k ) for k 0. (b) Autocorrelation functions ( k ) for k 0. 4. Consider the AR(1) process (-1 &lt; &lt; 1): x t = x t-1 + t , in which t are independent and identically distributed (i.i.d.) normal random variables with mean 0 and variance 2 . Show that the autocorrelation of this process is ( k ) = k , for any integer k &gt; 0....
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This note was uploaded on 08/08/2010 for the course AMS 316 taught by Professor Xing during the Fall '09 term at SUNY Stony Brook.
- Fall '09