Time Series

4. (10 marks) For a process { Y}, the auto-covariance generating function is given by gy (2) = _ 7(j)2, J=-00 where v(j) is the auto-covariance of lag j. a) (5 marks) If {Y} follows the MA(1) model Yt = at + 0at-1, at N(0, o?), find gy(z). b) (5 marks) If {Y} follows the AR(1) model Yt = oft-1 + at, at ~ N(0, o?), find gy(z)