Question: Consider the time series Xt = Z+ + 0.3Zt-1 - 0.4Zt-2, where {Z } ~ WN(0, 62). 2. {Xt} is a MA(q) process, and hence

Consider the time series Xt = Z+ + 0.3Zt-1 - 0.4Zt-2,

Consider the time series Xt = Z+ + 0.3Zt-1 - 0.4Zt-2, where {Z } ~ WN(0, 62). 2. {Xt} is a MA(q) process, and hence is q-correlated. What is q? Use Proposition 2.2.1 and find ACVF yx (h). Proposition 2.2.1 Let {Yt} be a stationary time series with mean 0 and covariance function Vy. If _j- |wj| wij-no2. j=-00

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