Let x; be a stationary time series with mean zero and autovocariance function yx (h).Define y = x; – 0.4xt-1 and z; = Xt – 2.5x;-1.a) Express the autocovariance functions of y; and z; in terms of theautocovariance function of x¢.b) Show that y, and z, have the same autocorrelation functions.Yt

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Answered: Let x, be a stationary time series with…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Let x, be a stationary time series with mean zero and autovocariance function Yx(h). Define y; = xt – 0.4x;-1 and z; = x; – 2.5x;-1. a) Express the autocovariance functions of y; and z in terms of the autocovariance function of x;. b) Show that y; and z, have the same autocorrelation functions.