A Show That A Real Valued Even Function Defined On Z Is Non Negative Definite If And Only If It Is The Auto Covariance 1 (32.01 KiB) Viewed 25 times
Please answer (b). I need step by step solution.
I will vote it.
(Time series problem)
a) Show that a real-valued even function defined on Z is non-negative definite if and only if it is the auto-covariance function of a stationary time series. b) Show that for a stationary time series {Y,} with mean 0 and auto-covariance function yy(), the process X, = v, Y.-; is also stationary with mean 0 and auto-covariance function a Yx (h)= į Žv paxx(h+k– j), if Šk«l<<0. Also show that for a linear process Yx (h)= Ev ,Wj+ho? k-
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