Exercise 1 (14 points)

Let X = (Xt) t∈Z be a real-valued,

stationary and causal AR (p) time
series with
Xt +
X
p
j = 1
ajXt − j = et
, t ∈ Z,
with white noise e = (et) t∈Z, Var
(et) = σ
2
e
.
(a) Calculate the 1-step prediction
for the infinite past PtXt + 1 and
the
associated prediction error E (Xt + 1
- PtXt + 1)
2
.
(b) Show that δ (τ) = E (Xt + τ -
PtXt + τ)
2 from Definition 7.5 is independent
of t.
(c) Determine PtXt + τ ∀τ ≥ 1 in the
case p = 1. Find δ (τ) with the help
of the parameter
a1 and the variance σ
2
e. Investigate δ (τ) for ¨ τ → ∞.

Exercise 2 (8 points)
Let X = (Xt) t∈Z be a real-valued,
stationary and centered time series.
Show that
(P − ∞ (Xt)) t∈Z is also stationary
and centered.
Hint: Use without proof that for
partial Hilbert transmissions (Hn)
n∈Z of the Hilbert space H
with Hn ⊂ Hn + 1 ∀n ∈ Z and
projections Pn on Hn and P − ∞ on H −
∞ =
T
n∈Z Hn die
The statement limn → ∞ P − nx = P −
∞x ∀x ∈ H holds.