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Q4. Consider a model MA(1). Recall that we have demonstrated the P (a) Expressing e in terms of p. Note that knowing the values of
Q4. Consider a model MA(1). Recall that we have demonstrated the P (a) Expressing e in terms of p. Note that knowing the values of p, the value of 0 is not necessarily unique. For which values of p, is the value of o unique? For each of these values, is the process stationary? (b)Give restrictions on p, so that 0 is real and the process is stationary. ( MA(1) is a stationary) (c) Assuming that the process is stationary and invertible, find o value. (d)Suppose we observer, = -0.25= the first-order autocorrelation of the sample. Give the method of moments estimate of 0. (The process is an invertible MA(1) process). ( Hint : see part (a))
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