Mathematics, 17.02.2020 20:17 amya92
Suppose that {Yt } is stationary with autocovariance function γk. (a) Show that Wt = ∇Yt = Yt − Yt − 1 is stationary by finding the mean and autocovariance function for {Wt }. (b) Show that Ut = ∇2Yt = ∇[Yt − Yt−1] = Yt − 2Yt−1 + Yt−2 is stationary. (You need not find the mean and autocovariance function for {Ut }.)
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Suppose that {Yt } is stationary with autocovariance function γk. (a) Show that Wt = ∇Yt = Yt − Yt −...
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