(i) Express it as a general linear process (MA()), that is, Xt = ao Σªj¤t-j, ªo = 1 and hence find Var(Xt).

Trigonometry (MindTap Course List)
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Chapter6: Topics In Analytic Geometry
Section6.4: Hyperbolas
Problem 5ECP: Repeat Example 5 when microphone A receives the sound 4 seconds before microphone B.
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(i) Express it as a general linear process (MA(∞)), that is,
Xt = Σjo ªjet-j, ao = 1 and hence find
Var(Xt).
Transcribed Image Text:(i) Express it as a general linear process (MA(∞)), that is, Xt = Σjo ªjet-j, ao = 1 and hence find Var(Xt).
(a) Consider the ARMA(2,1) process {Xt},
Xt = 0.45Xt-1 − 0.05Xt-2 + €t - 0.2€t-1
where t~ iid(0, 0²).
Transcribed Image Text:(a) Consider the ARMA(2,1) process {Xt}, Xt = 0.45Xt-1 − 0.05Xt-2 + €t - 0.2€t-1 where t~ iid(0, 0²).
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