Find the mean xt , E(Xt) and the variance Xt, var(Xt). Do they depend on t? ii. Determine the covariance of xt and xt+h for h > 0, Cov(Xt , xt+h) iii. Is xt stationary? Explain.

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter4: Eigenvalues And Eigenvectors
Section4.6: Applications And The Perron-frobenius Theorem
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Now suppose that the time series process {Xt}, is expressed as Xt = z + ewhere et is iid with a mean of zero and a variance of σ  , and the variable z does not change over time (time invariant) which means it has a mean E(z) = 0 and , and it is assumed that z and et are uncorrelated:

i. Find the mean xt , E(Xt) and the variance Xt, var(Xt). Do they depend on t?

ii. Determine the covariance of xt and xt+h for h > 0, Cov(X, xt+h)

iii. Is xt stationary? Explain. 

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