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  3. consider the time series given by yt = a1yt-1 + a2

Consider the time series given by yt = a1yt-1 + a2yt-2 + ?t. Where ?t is independent white noise and yt...

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Basic Math

Consider the timeseries given by yt =a1yt-1 +a2yt-2 +?t. Where?t is independent white noise andyt is stationary.

A.    Compute the mean ofyt.E(yt)

B.   Compute the variance ofyt.E[yt ?E(yt)]2

C.    Compute the first threeautocovariances for yt.(E[(yt?E(yt))(yt?i?E(yt?i))]i=1,2,3).

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