Unformatted text preview: MA ( ∞ ) model. (d) Evaluate the ﬁrst three AR coeﬃcients of the model when expressed as AR ( ∞ ) model. 3. Show that AR(2) process X t = X t1 + cX t2 + Z t is stationary provided1 < c < 0. Find the autocorrelation function when c =3 / 16. 4. Show that the AR (3)process X t = X t1 + cX t2cX t3 + Z t is nonstationary 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

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