Suppose that xt = wt + kwt−1 + kwt−2 + kwt−3 + · · · +...

Suppose that xt = wt + kwt−1 + kwt−2 + kwt−3 + · · · + kw0, for t > 0, k constant, and wi iid N(0, σ2w).

(a) Derive the mean and autocovariance function for {xt}. Is {xt} stationary?

(b) Derive the mean and autocovariance function for {∇xt}. Is {∇xt} stationary?

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milcah answered 1 year ago

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