1. Let {Xt} be a stationary process with mean μt = E(Xt) = 0 and autocovariance...

Question

Question

1. Let {Xt} be a stationary process with mean μt = E(Xt) = 0 and autocovariance

function γX(k) = E(XtXt−k) - μ2 = E(XtXt+k) - μ2. De ne Yt = 5 + 2t + Xt.

(a) Find E(Yt), the mean function for Yt.
(b) Find γY (k), the autocovariance function for Yt in terms of γX (k).

(c) Is Yt stationary? Explain.
(d) De ne a new process Wt as Wt = Yt − Yt−1. Find E(Wt) and γW (k).

(e) Is Wt stationary? Explain.

Answer 1

Answer #1

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Answer 2

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