Let Y, be a stationary time series with autocovariance function Yr (s). a. Show that the new series X, = a + bt +Y, where a and b are fixed non-zero constants, is not stationary. b. Express the autocovariance function of AX, = X,-X-1 in terms of 7r (5) and show that this new series is stationary.

Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter14: Discrete Dynamical Systems
Section14.3: Determining Stability
Problem 17E
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Let Y, be a stationary time series with autocovariance function Yr (s)
a. Show that the new series X, = a + bt +Y, where a and b are fixed non-zero constants, is not
stationary.
b. Express the autocovariance function of AX, = X, - X-1 in terms of 7r (S) and show that this new
series is stationary.
c. Show that if Y, is a moving average process of order 1, then the series AXt is not invertible and has
variance larger than that of Y.
Transcribed Image Text:Let Y, be a stationary time series with autocovariance function Yr (s) a. Show that the new series X, = a + bt +Y, where a and b are fixed non-zero constants, is not stationary. b. Express the autocovariance function of AX, = X, - X-1 in terms of 7r (S) and show that this new series is stationary. c. Show that if Y, is a moving average process of order 1, then the series AXt is not invertible and has variance larger than that of Y.
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