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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.

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