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Unformatted text preview: 7 a) x ( h ) = cov ( X t ,X t + h ) = cov ( Z t ,Z t + h ) + cov ( Z t ,Z t + h-1 + cov ( Z t-1 ,Z t + h ) + 2 cov ( Z t-1 ,Z t + h-1 ) (16) x ( h ) = = 0 : 2 z + 2 2 z = 1 : 2 z 2 : (17) x ( h ) = x ( h ) x (0) = 1 : h = 0 1+ 2 : h = 1 : h 2 (18) b) its weakly stationary 2...
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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