Suppose the process for y, is given by:Yt = 0.5 +0.8ut-1 − 0.4ut-2 + Utwhere ut is white noise. The values of the autocorrelation function at lags 1, 2 and 3, are, respectively:Select one:Oa. 0.267, -0.222. 0.0b. 1.0, 0.267,-0.222c. It is not possible to determine these values without knowing the variance of ut.d. 0.488, 0.0, 0.0e. At lag 3, it is zero. It is not possible to determine the values for lag 1 and lag 2 without knowing the variance ut.

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Answered: where ut is white noise. The values of…

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where ut is white noise. The values of the autocorrelation function at lags 1, 2 and 3, are, respectively:

Algebra & Trigonometry with Analytic Geometry

13th Edition

ISBN:9781133382119

Author:Swokowski

Publisher:Swokowski

Chapter5: Inverse, Exponential, And Logarithmic Functions

Section5.6: Exponential And Logarithmic Equations

Problem 64E

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Question

Suppose the process for y, is given by:
Yt = 0.5 +0.8ut-1 − 0.4ut-2 + Ut
where ut is white noise. The values of the autocorrelation function at lags 1, 2 and 3, are, respectively:
Select one:
O
a. 0.267, -0.222. 0.0
b. 1.0, 0.267,-0.222
c. It is not possible to determine these values without knowing the variance of ut.
d. 0.488, 0.0, 0.0
e. At lag 3, it is zero. It is not possible to determine the values for lag 1 and lag 2 without knowing the variance ut.

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Step 1: Identify the moving average scheme

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Step 2: To get ACF at lag 1,2 and 3

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