Unformatted text preview: X t , deﬁned by X t = Z t + C ( Z t-1 + Z t-2 + ... ) where C is a constant. Show that the process is non-stationary. Also show that the series of the ﬁrst diﬀerences Y t deﬁned by Y t = X t-X t-1 is a ﬁrst-order MA process and is stationary. Find the ac.f of Y t . 3.5 If X t = μ + Z t + βZ t-1 , where μ is a constant, show that the ac.f does not depend on μ . 1...
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This note was uploaded on 02/28/2012 for the course AMS 316 taught by Professor Xing during the Fall '09 term at SUNY Stony Brook.
- Fall '09