Compute the variance and the ACF (lag-1 to lag-4) of the following ARMA models with (operatorname{Var}left(a_{t} ight)=1)

Question:

Compute the variance and the ACF (lag-1 to lag-4) of the following ARMA models with \(\operatorname{Var}\left(a_{t}\right)=1\) :

(a) \(z_{t}=0.7 z_{t-1}+a_{t}\);

(b) \(z_{t}=0.4 a_{t-1}+a_{t}\);

(c) \(z_{t}=0.7 z_{t-1}+\) \(0.4 a_{t-1}+a_{t}\).

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: