Consider the ARMA(1,1) time series yt de_ned by
yt yt1 = "t + _ "t1;
with _2 = Var("t) = 1 and let _ = (_; ).
(a) Show that a state space representation of yt is given by
xt+1 = _ xt + "t
yt = xt + "t;
and _nd .
(b) For which values of _ the observed process is stationary?
(c) Plot a trajectory of yt for di_erent values of _.
Verify if the time series
yt = 0:20yt1 + 0:63yt2 + _t + 2:3_t1 0:50_t2
where _t _ WN(0; _2) is invertible and stationary.
Already registered? Login
Not Account? Sign up
Enter your email address to reset your password
Back to Login? Click here