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(b) Assume that 100 observations from the ARMA(1,1) model gave the following estimates: o = = Var (X) = 10, p = Corr (X, X-1)

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(b) Assume that 100 observations from the ARMA(1,1) model gave the following estimates: o = = Var (X) = 10, p = Corr (X, X-1) = 0.5, and = Corr (X, Xt-2) = 0.4. Find the method of moments estimates of 6, 9 and . (2 + 6 + 3 marks)

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