McMaster Calculate the Autocovariance Function ? of The Stationary Time Series Ques

Question Description

I’m working on a statistics question and need an explanation to help me understand better.

(a) Calculate the autocovariance function ? of the stationary time seriesYt = µ + et + ?1et?1 + ?12et?12where et is white noise with variance ?2.

(b) use R to compute the sample mean and sample autocovariances ?h,0 ? h ? 20 of ??12Xt, where Xt is the USA Accidental Death timeseries (in the TSA library, load data(“USAccDeaths”)).

(c) By equating the ?1, ?11, and ?12 from part (b) to ?1, ?11, ?12 respectively from part (a), find a model of the form defined in (a) torepresent ??12Xt.

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