Consider the AR(2) process yt = 1yt 1 + 2yt 2 + t with t N(0v) independent
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Consider the AR(2) process yt = 1yt 1 + 2yt 2 + t with t N(0v)
independent with 1 = 09 and 2 = 09 Is this process stable? If so write the process as an innite order MA process, yt = j=0 j t j Find j for all j
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Related Book For
Time Series Modeling Computation And Inference
ISBN: 9781498747028
2nd Edition
Authors: Raquel Prado, Marco A. R. Ferreira, Mike West
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