Question: Exercise 7.9.3. Consider the MA(1) model yt = 10+et 0.4et1, 2 = 3. (a) Find , (0), (1), (2), and

Exercise 7.9.3. Consider the MA(1) model yt = 10+et −0.4et−1, 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).

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