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2. Consider the time series process {v} given by vt = wt +0.5wt-1 Wt-2, where {w} is a sequence of independently and identically distributed
2. Consider the time series process {v} given by vt = wt +0.5wt-1 Wt-2, where {w} is a sequence of independently and identically distributed random variables with mean equal to zero and variance equal to one. (a) Derive the mean, variance, and autocovariances of ut. [6 marks] (b) Use your answer to part (a) to assess whether it is a white noise process. [2 marks]
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Introduction to Operations Research
Authors: Frederick S. Hillier, Gerald J. Lieberman
10th edition
978-0072535105, 72535105, 978-1259162985
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