Unformatted text preview: a is a parameter. (a) For what values of real number a , the process is stationary? (b) What is the autocorrelation of the process at lag k , i.e., ρ ( k )? ( k ≥ 0). (c) What are the 1-step and 2-step ahead forecasts of the process at forecast origin x n ? 4. Consider the stationary process x t + φx t-1 = z t-θz t-1 . (a) What are the stationarity and invertbility conditions for x t ? (b) Compute the lag-1 and lag-2 autocorrelations ρ (1) and ρ (2). (c) Given the observations y 1 ,...,y n , what are the 1- and 2-step ahead forecast of y at the forecast origin y n ?...
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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