This preview shows page 1. Sign up to view the full content.
Unformatted text preview: X ( ) and autocorrelation function (acf) X ( ). Show by the denition of acvf and acf that, X ( ) = X ( ) for = 1 , 2 ,... and X (0) = 1. 5. Write down the denition of the secondorder (or weakly) stationary process. 6. Consider the purely random processes { Z t } , where Z t are independent and identically distributed random variables with mean 0 and variance 2 Z . (a) Compute its autocovariance function Z ( ) and autocorrelation function Z ( ) for = 0 , 1 , 2 ,... . (b) Is this process weakly statioanry? 7. Consider the MA(1) process: X t = Z t + Z t1 where   < 1 and Z t are independent and identically distributed random variables with mean 0 and variance 2 Z . (a) Compute its autocovariance function Z ( ) and autocorrelation function Z ( ) for = 0 , 1 , 2 ,... . (b) Is this process weakly statioanry?...
View
Full
Document
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

Click to edit the document details