Problem 5. [Total 15 mark] Identify the following models as ARMA(p, q) models (watch out for...

Problem 5. [Total 15 mark] Identify the following models as ARMA(p, q) models (watch out for parameter redundancy), and determine whether they are causal and/or invertible:

(a) [8mark]Xt=0.40Xt−1−0.45Xt−2+Zt+Zt−1+0.25Zt−2,whereZt∼WN(0,σ2).

(b) [7mark]Xt=Xt−1−0.50Xt−2+Zt−Zt−1,whereZt∼WN(0,σ2).

Expert Solution

orchestra answered 2 years ago

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