Question: Let X: be an AR(2) process defined by Xt - Xt-1 + 0.5X1-2 = et. where er is a white noise innovation process with variance

Let X: be an AR(2) process defined by Xt - Xt-1

Let X: be an AR(2) process defined by Xt - Xt-1 + 0.5X1-2 = et. where er is a white noise innovation process with variance V(e,) = 4. Find the covariance function of X, at lags zero, one and two, that is, compute rx (0), rx (1) and rx (2). Hint: Use the Yule-Walker equations

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