Question: Consider the time series Y = 0.7 +0.4Y{_1+0.12Y-2+ where e is a white noise process with variance . (i) Identify the model as an

$Consider the time series Y = 0.7 +0.4Y{_1+0.12Y-2+ where e is a$

Consider the time series Y = 0.7 +0.4Y{_1+0.12Y-2+ where e is a white noise process with variance . (i) Identify the model as an ARIMA(p,d,q) process. (ii) Determine whether Y is a stationary process. (iii) Calculate E(Y). (iv) Calculate the auto-correlations P1, P2, P3 and P4- [1] [2] [2] [4] [Total 9]

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