Yt = €t – 0.5ɛt–1 + 0.5€t-2 Et ~ WN (0, 1) (a) Find E(y) and Var(y.). (b) Find Cor(yt, Yt–1) and Cor(yt, Yt-2). (c) Is the model above covariance stationary?

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Consider the following model:

Yt = €t – 0.5ɛt–1 + 0.5€t-2
Et ~ WN (0, 1)
(a) Find E(y) and Var(y.).
(b) Find Cor(yt, Yt–1) and Cor(yt, Yt-2).
(c) Is the model above covariance stationary?
Transcribed Image Text:Yt = €t – 0.5ɛt–1 + 0.5€t-2 Et ~ WN (0, 1) (a) Find E(y) and Var(y.). (b) Find Cor(yt, Yt–1) and Cor(yt, Yt-2). (c) Is the model above covariance stationary?
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