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Mathematics, 18.02.2020 04:33 xojade
Consider the two series xt = wt yt = wt qwt1 + ut, where wt and ut are independent white noise series with variances s2w and s2 u, respectively, and q is an unspecified constant. (a) Express the ACF, ry(h), for h = 0,1,2, . . . of the series yt as a function of s2w , s2 u, and q. (b) Determine the CCF, rxy(h) relating xt and yt.
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Consider the two series xt = wt yt = wt qwt1 + ut, where wt and ut are independent white noise seri...
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