Show that the AR(2) process Xt=X(t-1)+cX(t-2)+Zt is stationary provided by-1<c<0. Find the autocorrelation function when c=-3/16....

Show that the AR(2) process Xt=X(t-1)+cX(t-2)+Zt is stationary provided by-1<c<0. Find the autocorrelation function when c=-3/16. Show that the AR(3) process Xt=X(t-1)+cX(t-2)-cX(t-2)+Zt is non-stationary for all values of c.

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orchestra answered 2 years ago

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