Consider the following ARMA(2,1) model, yt − yt−1 + 0.1yt−2 = _t − 0.3_t, where _t is a white noise sequence with (0, _2 _ ). (a) Show that this time series is causal and invertible. (b) Calculate the...



Consider the following ARMA(2,1) model,



y
t




y
t
1 + 0.1y
t
2 =
_
t



0.3_
t
,


where
_
t
is a white noise sequence with (0, _2



_
).


(a) Show that this time series is causal and invertible.


(b) Calculate the coefficients of its Wold expansion.


(c) Calculate the ACF of
y
t.





May 22, 2022
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