Q5. Consider the MA(2) process X = (1+0B)W, with W, ~ WN(0,1). Recall that y(0)=1+0, y(1)...
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Q5. Consider the MA(2) process X₁ = (1+0₂B²)W, with W, ~ WN(0,1). Recall that y(0)=1+0₂², y(1) = 0, y(2) = 0₂, y(h) = 0 for h≥ 3. i) Use the innovations algorithm to find X₁, X3, and X2 in terms of U₁,U₁, and U3. (Note that a lot of terms will be zero.) ii) Use the result from part i to find X². (Note that we have calculated X2 in Q8 of HW#6. But in that question, we expressed it in terms of X₁ and X₂, but in here we expressed it in terms of U₁ and U₂.) Q5. Consider the MA(2) process X₁ = (1+0₂B²)W, with W, ~ WN(0,1). Recall that y(0)=1+0₂², y(1) = 0, y(2) = 0₂, y(h) = 0 for h≥ 3. i) Use the innovations algorithm to find X₁, X3, and X2 in terms of U₁,U₁, and U3. (Note that a lot of terms will be zero.) ii) Use the result from part i to find X². (Note that we have calculated X2 in Q8 of HW#6. But in that question, we expressed it in terms of X₁ and X₂, but in here we expressed it in terms of U₁ and U₂.)
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Related Book For
Calculus Early Transcendentals
ISBN: 9780321947345
2nd edition
Authors: William L. Briggs, Lyle Cochran, Bernard Gillett
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