Question: Let {Xt} be the ARIMA(2,1,0) process satisfying 1 0.8B + 0.25B2Xt = Zt, {Zt} WN(0, 1). 6.6 Let {X/} be the ARIMA(2,1,0) process satisfying (1

Let {Xt} be the ARIMA(2,1,0) process satisfying 1 0.8B + 0.25B2Xt = Zt, {Zt} WN(0, 1).

6.6 Let {X/} be the ARIMA(2,1,0) process satisfying (1 - 0.8B + 0.25B-) VX = Zt, {Z ) ~ WN(0, 1). (a) Determine the forecast function g(h) = PnXnth for h > 0. (b) Assuming that n is large, compute o,-(h) for h = 1, ..., 5

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