quiz_2 - AMS316 Quiz #2 1. Compute the ACF (k ) (k 0) of...

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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.

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