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    Three Time Series Analysis Questions

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    Question 1

    Suppose E(X) = 2, Var(X) = 9, E(Y)=0, Var(Y)=4 and Corr(X,Y)=0.25. Find:
    a) Var(X + Y)
    b) Cov(X, X + Y)
    c) Corr(X + Y, X - Y)

    Question 2
    If X and Y are dependent but Var(X) = Var(Y), find Cov(X + Y, X - Y)

    Question 3
    Suppose Yt = 5 + 2t +Xt, where (Xt) is a zero-mean stationary series with autoco-variance function yk.
    a) Find the mean function for {Yt}.
    b) Find the autocovarience function for {Yt}.
    c) Is {Yt} stationary? Why or why not?

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    Solution Summary

    This solution shows step-by-step calculations to determine the variance, covariance, correlation and other properties of time series.