Let { X t } be the ARIMA(2,1,0) process satisfying (1 − 0 . 8 B + 0 . 25 B 2 )∇ X t = Z t , { Z t } ∼ WN ( 0 , 1 ). a. Determine the forecast function g(h) = P n X n + h for h > 0. b. Assuming that n...

Let {X_t
} be the ARIMA(2,1,0) process satisfying

(1 − 0.8B+ 0.25B
²)∇X_t
=Z_t ,{Z_t
} ∼ WN(0,1).

a. Determine the forecast functiong(h)=P_nX_n

₊

_h
forh >0.