TS Module 5 MA(2) process practice problems


TS Module 5 MA(2) process practice problems

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NEAS
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TS Module 5 Stationary moving average processes

 

(The attached PDF file has better formatting.)

 

Time series MA(2) process practice problems

 

*Question 5.1: Variance of moving average process

 

A moving average process of order 2 is Yt = etè1 et-1è2 et-2 , with ó2e = 1

 

What is ã0, the variance of Yt?

 


A.     1 – è1è2

B.     1 – è21è22

C.    1 – è1è22

D.    1 + è1 + è2

E.     1 + è21 + è22

 

Answer 5.1: E

 

Yt is the sum of three independent random variables

 

(See Cryer and Chan page 62, equation at bottom of page)

 


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