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Determine which of the following ARMA processes are causal and which.pdf

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Determine which of the following ARMA processes are causal and which of them are invertible. (In each case { Zt } denotes white noise. a. Xt + 0.2 Xt-1 - 0.48 Xt-2 = Zt b. Xt + 1.9 Xt-1 +0.88 Xt-2 = Zt + 0.2 Zt-1 +0.7 Zt-2 c. Xt + 0.6 Xt-1 = Zt +1.2 Zt-1 d. Xt + 1.8 Xt-1 + 0.81 Xt-2 = Zt e. Xt + 1.6 Xt-1 = Zt - 0.4 Zt-1 + 0.04 Zt-2 Solution A&D are casual, and BC&E are invertable..

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Determine which of the following ARMA processes are causal and which of them are invertible. (In each case { Zt } denotes white noise. a. Xt + 0.2 Xt-1 - 0.48 Xt-2 = Zt b. Xt + 1.9 Xt-1 +0.88 Xt-2 = Zt + 0.2 Zt-1 +0.7 Zt-2 c. Xt + 0.6 Xt-1 = Zt +1.2 Zt-1 d. Xt + 1.8 Xt-1 + 0.81 Xt-2 = Zt e. Xt + 1.6 Xt-1 = Zt - 0.4 Zt-1 + 0.04 Zt-2 Solution A&D are casual, and BC&E are invertable.

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Determine which of the following ARMA processes are causal and which.pdf

  • 1. Determine which of the following ARMA processes are causal and which of them are invertible. (In each case { Zt } denotes white noise. a. Xt + 0.2 Xt-1 - 0.48 Xt-2 = Zt b. Xt + 1.9 Xt-1 +0.88 Xt-2 = Zt + 0.2 Zt-1 +0.7 Zt-2 c. Xt + 0.6 Xt-1 = Zt +1.2 Zt-1 d. Xt + 1.8 Xt-1 + 0.81 Xt-2 = Zt e. Xt + 1.6 Xt-1 = Zt - 0.4 Zt-1 + 0.04 Zt-2 Solution A&D are casual, and BC&E are invertable.