1

Solutions to the Exercise 2

Time Series Models

Problem 1:

1
1

0
t
tj
j
t
tj
j

Za
EZEa

1
t
tj
j

Var Z Var a t

t Z is not weakly stationary

2
11
2
2

, min ,
min , min ,
,
ts
tsjj
jj
ts

Cov Z Z E a a t s
tsts
Corr Z Z
ts ts

Problem 2:


1.7 0.6 0.3
1.7
12

tttt
t

Zaaa
EZ

1212

, 0.6 0.3 0.6 0.3 t t k t t t t k t k t k Cov Z Z E a a a a a a

22
22
22

1 0.36 0.09 1.45 , 0

0.6 0.18 0.78 , 1
0.3 0.3 , 2
0,3
aa
aa
aa

k
k
k
k

Problem 3:
1,0
0.8 , 1
0.1, 2
0,3
k

k
k
k
k

1
222
1232123121323
3

1 0.8 0.1

0.8 1 0.8 1.6 0.2 1.6

0.1 0.8 1

22
2131133
2
222222
222
2

1 1.6 0.2 1.6

1 X Y 1.6X 1.6Y 0.2XY

, 1 2 2 1.6 1.6 0.2

2 1.6 0.2 0 0.1 0.8
f X Y X Y X Y XY
df X Y X Y
dX

df 2Y 1.6 0.2X
dY

2 2

0.1 0.8, 1 0.1 0.8 1.6 0.1 0.8 1.6 0.2 0.1 0.8
0.99 1.44 0.36
3 0.99 9 1.44 3 0.36 0
4 16 4
fYYYYYYYY
YY
Yf

Thus, k
can not be an ACF for any stationary process

Problem 4:

a)
12
21
2

1.1 0.3 0 t t t Z Z Z

0.5
1.1 0.3 0
0.6
x
xx
x

general solution is 1 2 0.5 0.6 t t

tZ a a
b)
1230 ttttZ Z Z Z

322
2
3

1
10110
x
xxxxxxi
xi

general solution is 1 2 3
tt

Z a a i a i
c)
1 2 1.8 0.81 0 t t t Z Z Z
t

2 2

x 1.8x 0.81 0 x 0.9 0 x x 0.9

general solution is 0 1 0.9 t
tZ a a t
12