Question
4. (a) Consider the following time series Xt=(3/2)Xt-1-(1/2)Xt-2+et, where et is white noise. Is this model stationary or non-stationary? Provide a careful justification. (b) Write
4. (a) Consider the following time series Xt=(3/2)Xt-1-(1/2)Xt-2+et,where et is white noise.
Is this model stationary or non-stationary?
Provide a careful justification.
(b) Write down the model for Yt = Xt = Xt Xt1. Show that Yt is stationary.
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An Introduction to Measure Theoretic Probability
Authors: George G. Roussas
2nd edition
128000422, 978-0128000427
