Question: Consider two time series Xt = Wt Wt1 , Yt = .5(Wt + Wt1) , formed from white noise Wt with variance 2 = 1.

Consider two time series

Xt = Wt Wt1 , Yt = .5(Wt + Wt1) ,

formed from white noise Wt with variance 2 = 1.

  • Are Xt and Yt jointly stationary? Recall the cross-covariance function must depend only on the lag h and cannot depend on time.
  • Compute the power spectrum fY () and fX(), and comment on the difference between the two results.

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