Question: For the processes in Problem 4.25: (a) Compute the phase between xt and yt . (b) Simulate n = 1024 observations from xt and yt

For the processes in Problem 4.25:

(a) Compute the phase between xt and yt

.

(b) Simulate n = 1024 observations from xt and yt for φ = .9, σ

2 = 1, and D = 1.

Then estimate and plot the phase between the simulated series for the following values of L and comment:

(i) L = 1, (ii) L = 3, (iii) L = 41, and (iv) L = 101.

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