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AMS316 Quiz #2
1. Compute the ACF
ρ
(
k
) (
k
≥
0) of the ARMA process:
x
t

φx
t

1
=
z
t
+
θz
t

1
, where
z
t
are i.i.d. normal variables.
2. Compute the ACF
ρ
(
k
) (
k
≥
0) of the AR(2) process 5
X
t
= 4
X
t

1

X
t

2
+
Z
t
, in
which
Z
t
are i.i.d. standard normal random variables.
3. Compute the ACF
ρ
(
k
) (
k
≥
0) of the AR(2) process 6
X
t
=
X
t

1
+
X
t

2
+
Z
t
, where
Z
t
are i.i.d. standard normal variables.
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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

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