Exercise 7.9.4. Consider the ARMA(1,1) model yt = 100.7yt1+et 0.4et1, 2 = 3 (a) Find ,

Exercise 7.9.4. Consider the ARMA(1,1) model yt = 10−0.7yt−1+et −0.4et−1, σ 2 = 3

(a) Find μ, σ (0), σ (1), σ (2), and σ (3).

(b) If y4 = 12, will y5 tend to be less than or greater than μ?

(c) Is the process stationary?

(d) Give ˆE(y4+k|Y∞) and the prediction variance for k = 1,2,3 and Y =

(12,11,11,12).