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Mathematics Assignment | Custom Assignment Help

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October 16th, 2019

1.   Consider the time series given by yt = α + ψεt−1 + εt. Where εt is independent white noise.

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A.    Compute the mean of yt. E(yt)

 

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  B.   Compute the variance of yt. E[yt − E(yt)]2

 

C.    Compute the first three autocovariances for yt. (E[(yt −E(yt))(yt−i −E(yt−i))] i=1,2,3).

 

D.   Is yt stationary? Why or why not?

 

2.   Consider the time series given by yt = a1yt-1 + a2yt-2 + εt. Where εt is independent whitenoise and yt is stationary.

 

A.    Compute the mean of yt. E(yt)

 

  B.   Compute the variance of yt. E[yt − E(yt)]2

 

C.    Compute the first three autocovariances for yt. (E[(yt −E(yt))(yt−i −E(yt−i))] i=1,2,3). Get mathematics assignment homework help today

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