Question: Problem 2 Suppose Xt = 0Xt1 +&+0t1, {et} is white noise, with o < 1 and |0| < 1. Suppose for some {n}, we

Problem 2 Suppose Xt = 0Xt1 +&+0t1, {et} is white noise, with o < 1 and |0| < 1. Suppose for some {n}, we have {et, nt} is white noise with variance| matrix . (a) Show that Y = Xt + nt is ARMA (p,q). What is p and q? (b) Derive the autocovariance function of Yt. (c) Under the additional assumption that {et, nt} is i.i.d. sequence derive a CLT for the sample average Y.

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