1. B

    autocovariance and power spectral density

    I need to find the solution to this question, could someone help? Consider the stochastic process {Xt;t ∈ Z}. Let fX(λ) = |1 +1/3 eiλ|2 be the spectral density function and RX (t) be the autocovariance function of {Xt; t ∈ Z}. What is the value of RX(1).
  2. J

    Determining stationarity

    Hi there, I have this current problem to solve, relating to time series analysis Suppose that {et} is a white noise process with variance s2, and that a, b and c are constants. For each of the following processes, determine if they are stationary, and if so, find their mean and autocovariance...
  3. P

    Autocovariance Function

    Hey there! I have a question relating to Applied Time Series that I'm having a bit of trouble with. For all parts of this question, let Z_t; t \geq 0 be a sequence of independent normal variables with mean 0 and variance \sigma^2 , and let a, b and c be constants. For the series...