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.