Give the definition of stationarity in strong and weak sense

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Reference no: EM131226675

Answer the following questions

Question No 1. : Give the definition of stationarity in strong and weak sense. Are the following processes stationary? Why? White noise (give the definition), Random walk (give the definition), MA(n) process (give the definition).

Question No. 2 : How to test stationarity of an empirically given time series? (you can use textbooks and lectures with references).

Question No. 3 : Give the definition of the autocorrelation function of a stationary time series.

Question No. 4 : Derive a formula for the autocorrelation function of a MA(n) process (you can use textbooks and lectures with references).

Question No. 5 : Derive autocorrelation function of the following MA(2) process: X(t)=Z(t)+0.5Z(t-1)+0.25Z(t-2)?

Question No 6 : Under which condition a general AR(n) process is stationary?

Question No 7 : For which a the following processes are stationary: X(t)=aX(t-1)+2aX(t-2)+Z(t); X(t)=2aX(t-1)+aX(t-2)+Z(t)?

Question No 8 : Under which condition a general MA(n) process is invertible?

Question No 9 : For which a the following processes are invertible: X(t)= Z(t)+aZ(t-1)+2aZ(t-2); X(t)=Z(t)+2aZ(t-1)+aZ(t-2)?

 

 

Reference no: EM131226675

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