Time series mod 5: MA(2) autocorrelations practice problems

For AR(1), AR(2), MA(1), MA(2), and ARMA(1,1) processes, know how to calculate ã₀, ã₁, ã₂, ñ₁, and ñ₂ from ö₁, ö₂, è₁, è₂, and ó_ε. Know the formulas for these five simple processes. For more complex processes, such as ARMA(p, q) for p > 1 and q > 1, or AR(p) for p > 2, or MA(q) for q > 2, know the principles, such as the shapes of the sample autocorrelation and partial autocorrelation functions.

Exercise 1.1: MA(2) process

An MA(2) process has è₁ = 0.7, è₂ = 0.5, and ó_ε = 2.

A.     What is ã₀?

B.     What is ã₁?

C.    What is ã₂?

D.    What is ñ₁?

E.     What is ñ₂?