QUESTION 1

Suppose that {yt} is an AR(1) process with -1 < < 1

a) Find the autocorrelation function for Wt = Yt in terms of and given that for k > 0, Cov (Yt, Yt-k) = k[/(12)]

b) Show that Var(Wt) = 2/(1+)

c) Verify that the autocorrelation function for an MA(1) process does not change when the parameter is replaced with its inverse.