Differentiate between weakly stationary and strong stationarity. (4 Marks) Let be such that where are independent random variable. Is this process covariance stationary? (6 Marks)

1. Differentiate between weakly stationary and strong stationarity. (4 Marks)

1. Let be such that where are independent random variable. Is this process covariance stationary? (6 Marks)

MOUNT KENYA UNIVERSITY CAT I TIME SERIES ANALYSIS NAME………………………………………………………REG. NO…………………………………… 1. Differentiate between weakly stationary and strong stationarity.(4 Marks) 2. Let be such that where are independent random variable. Is this process covariance stationary?(6 Marks) 3. Given a time series and . Derive the auto-correlation unction of .(8 Marks) 4. Given the following observation of a time series for . t 1 2 3 4 5 6 7 8 9 6 40 50 70 60 60 80 75 85 90 95 Find; i) and .(8 Marks) ii) and .(4 Marks) 2 (0,) s 1 1 ttt X q qee - =- 2 ~(0,) i WN es t X 10 n = t X (1) g µ (1) r (2) g (2) r ;t0,1,2,... t X =±± 12 cossin ttt X elel =+ 12 , ee