Question: TIME SERIES QUESTION - THANKS :) Question 4 [12 marks]. Let { Z } be a white noise process with mean 0 and variance 1.

TIME SERIES QUESTION - THANKS :)

Question 4 [12 marks]. Let { Z } be a white noise process with mean 0 and variance 1. For the following processes, compute the partial autocorrelation function (PACF) at lag 3: (a) Xt = 0.45Xt-1 + 0.05Xt-2 - 0.35Xt-3 + Zt. [2] (b) Xt = 0.7Xt-1 - 0.4Xt-2 + 0.5Xt-3 + Zt - 0.7Zt-1 + 0.4Zt-2 - 0.5Zt-3. [3] (c) Xt = Zt - 0.75Zt-1. [3] 41 (d) Xt = 36 Xt-1 - ,Xt-2+ Xt-3 + Zt - -Zt-1. [4]

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