Unformatted text preview: MA ( ∞ ) model. (d) Evaluate the ﬁrst three AR coeﬃcients of the model when ex-pressed as AR ( ∞ ) model. 3. Show that AR(2) process X t = X t-1 + cX t-2 + Z t is stationary provided-1 < c < 0. Find the autocorrelation function when c =-3 / 16. 4. Show that the AR (3)process X t = X t-1 + cX t-2-cX t-3 + Z t is non-stationary for all values of c. 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