Let Y, be a stationary time series with autocovariance function Yr (s). a. Show that the new series X, = a + bt +Y, where a and b are fixed non-zero constants, is not stationary. b. Express the autocovariance function of AX, = X,-X-1 in terms of 7r (5) and show that this new series is stationary.

Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter10: Sequences, Series, And Probability
Section10.2: Arithmetic Sequences
Problem 67E
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Let Y, be a stationary time series with autocovariance function Yr (s)
a. Show that the new series X, = a + bt +Y, where a and b are fixed non-zero constants, is not
stationary.
b. Express the autocovariance function of AX, = X, - X-1 in terms of 7r (S) and show that this new
series is stationary.
c. Show that if Y, is a moving average process of order 1, then the series AXt is not invertible and has
variance larger than that of Y.
Transcribed Image Text:Let Y, be a stationary time series with autocovariance function Yr (s) a. Show that the new series X, = a + bt +Y, where a and b are fixed non-zero constants, is not stationary. b. Express the autocovariance function of AX, = X, - X-1 in terms of 7r (S) and show that this new series is stationary. c. Show that if Y, is a moving average process of order 1, then the series AXt is not invertible and has variance larger than that of Y.
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