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Problem 3 (10 marks). Consider the following ARMA(2,4) process, with a, B as real pa- rameters, i.e. a, ER, 1 Yt = ayt-2 + Ut

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Problem 3 (10 marks). Consider the following ARMA(2,4) process, with a, B as real pa- rameters, i.e. a, ER, 1 Yt = ayt-2 + Ut + B Ut-4, B4 Ut ~ WN(0,1) State the range of values for a and for which yt is stationary and invertible? Assume that all roots are real number. (We do not consider complex roots here.)

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