Question: time series problem 6. Let DO Xt = Wt + a > 6* -' Wt-k, tez k=1 be a MA(co) time series, where We is

time series problem

6. Let DO Xt = Wt + a > 6* -' Wt-k, tez k=1 be a MA(co) time series, where We is white noise (EW = 0, EW? = 1 and they are uncorrelated). (a) What are the conditions on a and b to ensure causality and invertibility? (b) Assuming the time series is stationary, find the best linear predictor, de- noted X(0] Kit, of Xt+1 from the given infinite past observations: Xt, Xt-1

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