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0-sigma-2--following-processes-stationary-stationary-process-specify-mean-a-q22802261
Question:
Let Z_t iid N(0, sigma^2). Which of the following processes are stationary? For each
stationary process specify the mean and autocovariance function
. a. X_t = 1 + Z_t + Z_t - 2
b. X_t = Z_1 cos (ct) + Z_2 sin (ct) (c is a constant.)
c. X_t = Z_tZ_t - 1
Insert context header here:
Insert context explanation here...
ANS-
Context header: Variance
Context explanation: Variance is the expected or difference value of any number series.
Variance describes the difference in the value of estimator and actual value or outcome. If
variance between actual and estimator is small then we say that our estimator is very near to
actual value. Thus the statistical model that are using for variance is very efficient to set for
the population.
Answer and explanation:
Option a: is the stationary process because the mean and variance is constant over the time.
A.
Calculating auto covariance function
E(X t ) = E(Z t )+cE(Z t-2 )
cov  X t X t-h  = E  Z t +Z t-2   Z t +Z t-2  
= E  Z t Z t+h  +E  Z t Z t-2+h  +E  Z t-2 Z t+h 

if h = 0;
cov  X t ,X t  = E  Z 2t  +0+c 2 E(Z 2t-1 )
= σ2
if h = 1;
Cov(X t ,X t ) = 0+E(Z 2t )+0
= cσ 2
if h = -1;
Cov(X t ,X t ) = 0+cE(Z 2t )+0
= cσ 2
if |h| >1;
Cov(X t ,X t ) =0
B.
X t = Z1cos(ct)+Z 2sin(ct)
E(X t ) = 0+0=0
E(X t X t+h ) = E(Z12 )cos2 (ct)+2E(Z1 ,Z 2 )cos(ct)sin(ct)+E(Z22 )sin 2 (ct)
= σ 2 [sin 2 (ct)+cos2 (ct)]
= σ2
C.
X t =Z t Z t-1
E(X t ) =E(Z t Z t-1 )
=0
E(X t X t+h ) =E(Z t Z t-1Z t+h Z t+h-1 )

For h =0;
E(X t X t+h ) =E(Z 2t Z 2t-1 )
=σ 4
For h  0;
E(X t X t+h ) =0
.
Process is weakly stationary with  ( h )  1h