Exercise 7.9.2. Consider the AR(1) model yt = 100.7yt1+et , 2 = 3. (a) Find , (0), (1), (2), and

Exercise 7.9.2. Consider the AR(1) model yt = 10−0.7yt−1+et , σ 2 = 3.

(a) Find μ, σ (0), σ (1), σ (2), and σ (3).

(b) If y4 = 12, will y5 tend to be less than or greater than μ?

(c) Is the process stationary?

(d) Give ˆE (y4+k|Y) and the prediction variance for k = 1,2,3 and Y =

(12,11,11,12).