Show that if {yt} is stationary and |_| 1, then for each t, converges in mean square error as m__. Consider the process ARMA(2,1) yt = 1.3yt−1 − 0.4yt−2 + zt + zt−1. (a) Analyze if this model is...

Show that if
{
y
t
}
is stationary and
|
_
|
1, then for each
t,

converges in mean square error as
m
__.

Consider the process ARMA(2,1)

y
t
= 1.3y
t
−1
−

0.4y
t
−2 +
z
t
+
z
t
−1.

(a) Analyze if this model is stationary and invertible.

(b) Calculate the ACF of this process.