Question 1 Consider a process Yų that resembles an M A(1) process except for a small change: where Ut ~ X4 = ut +(-1)*&u

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Question 1 Consider A Process Yu That Resembles An M A 1 Process Except For A Small Change Where Ut X4 Ut 1 U 1 (314.23 KiB) Viewed 42 times

Question 1 Consider a process Yų that resembles an M A(1) process except for a small change: where Ut ~ X4 = ut +(-1)*&ut-1, i.i.d N(0,0%) and 0 < d < 1 constant. Hint: (-1) = 1 ift is an even number, and -1 ift is odd. (a) Find Ef[X4+1), E_[X4+2], and E[X]. Pay attention to t being odd or even. = [30 marks] (b) Find Var[Xt]. [20 marks] (c) Derive the autocovariance for lags 1 and 2. [30 marks] (d) Explain what covariance stationarity means, and relate it to your findings in parts (a), (b), and (c). [20 marks)