Question: A time series with a periodic component can be constructed from xt = U1 sin(20t) + U2 cos(20t), where U1 and U2 are independent random
A time series with a periodic component can be constructed from xt = U1 sin(2πω0t) + U2 cos(2πω0t), where U1 and U2 are independent random variables with zero means and E(U2 1 ) = E(U2 2 ) = σ2. The constant ω0 determines the period or time it takes the process to make one complete cycle. Show that this series is weakly stationary with autocovariance function
γ(h) = σ2 cos(2πω0h).
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