Consider the AR(1) model Yt = 5 - 0.55Yt-1 + t and assume that = 1.2.
Question:
Yt = 5 - 0.55Yt-1 + ∈t
and assume that σ²∈ = 1.2.
(a) Is this process stationary? Why or why not?
(b) What is the mean of this process?
(c) What is the variance of this process?
(d) What is the covariance function of this process?
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Part a An AR1 model looks like Y t Y t1 t To have a stationary AR1 model we must have 1 S...View the full answer
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Related Book For
Statistics And Data Analysis For Financial Engineering
ISBN: 9781461427490
1st Edition
Authors: David Ruppert
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