4. Suppose that Y1, Y2,... is an AR(1) process with = 0.5, = 0.4, and...
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4. Suppose that Y1, Y2,... is an AR(1) process with μ = 0.5, φ = 0.4, and
σ2
= 1.2.
(a) What is the variance of Y1?
(b) What are the covariances between Y1 and Y2 and between Y1 and Y3?
(c) What is the variance of (Y1 + Y2 + Y3)/2?
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Related Book For 
Statistics And Data Analysis For Financial Engineering With R Examples
ISBN: 9781493926138
2nd Edition
Authors: David Ruppert, David S. Matteson
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