(b) Consider the non-stationary series {Xt}, Xt=t+St+ €t where St has period 2 and ~ iid(0, ²) and the linear time filt ALTITY

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(b) Consider the non-stationary
where St has period 2 and t
invariant filter (LTIF) Yt = A₂ Xt.
Δ2
series {Xt}, Xt=t+St + €t
iid(0, ²) and the linear time
Transcribed Image Text:(b) Consider the non-stationary where St has period 2 and t invariant filter (LTIF) Yt = A₂ Xt. Δ2 series {Xt}, Xt=t+St + €t iid(0, ²) and the linear time
(ii) Find E(Y₂), Var(Yt) and comment.
Transcribed Image Text:(ii) Find E(Y₂), Var(Yt) and comment.
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