Question 2 (a) For the ARMA(1,2) model Y₁ = 0.8Y₁-1 + e +0.7e-1 +0.6e-2, show that: (i) Pk = 0.8pk-1 for k > 2; and (ii)

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Question 2 A For The Arma 1 2 Model Y 0 8y 1 E 0 7e 1 0 6e 2 Show That I Pk 0 8pk 1 For K 2 And Ii 1 (233.43 KiB) Viewed 37 times

Question 2 (a) For the ARMA(1,2) model Y₁ = 0.8Y₁-1 + e +0.7e-1 +0.6e-2, show that: (i) Pk = 0.8pk-1 for k > 2; and (ii) p2 = 0.8p1 +0.6/yo- (b) Let Y, be an AR(2) process of the special form Y, = ₂ Y−2+ę₁. (i) Find the range of values of 2 for which the process is stationary. (ii) Show that if |2| = 1 the process cannot be stationary. [18 Marks] (4 marks) (4 marks) (7 marks) (3 marks)