Compute the variance and the ACF (lag-1 to lag-4) of the following ARMA models with (operatorname{Var}left(a_{t} ight)=1)
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Compute the variance and the ACF (lag-1 to lag-4) of the following ARMA models with \(\operatorname{Var}\left(a_{t}\right)=1\) :
(a) \(z_{t}=0.7 z_{t-1}+a_{t}\);
(b) \(z_{t}=0.4 a_{t-1}+a_{t}\);
(c) \(z_{t}=0.7 z_{t-1}+\) \(0.4 a_{t-1}+a_{t}\).
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Related Book For
Statistical Learning For Big Dependent Data
ISBN: 9781119417385
1st Edition
Authors: Daniel Peña, Ruey S. Tsay
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