TS Module 5 Stationary moving average processes

Neas-Seminars

By NEAS - 12/30/2010 2:30:59 PM

(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 Y_t = e_t – è₁ e_t-1 – è₂ e_t-2 , with ó²_e = 1

What is ã₀, the variance of Y_t?

A. 1 – è₁ – è₂

B. 1 – è²₁ – è²₂

C. 1 – è₁ – è²₂

D. 1 + è₁ + è₂

E. 1 + è²₁ + è²₂

Answer 5.1: E

Y_t is the sum of three independent random variables

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