University of Toronto - Department of Statistical Sciences Winter 2023

STA457H1: Time Series Analysis

Assignment 1 - Question 4 Due data February 3, 2023

Student Name...........................................................ID number...........................................................

Instructions: Show your answers in details.

Q4 (10 points): We have seen that i.i.d. noise is white noise. ”This example shows that white
noise is not necessarily i.i.d.” Suppose that {wt } and {xt } are independent and identically distributed
(i.i.d.) sequences, with

P (wt = 0) = P (wt = 1) = 1/2 and P (xt = −1) = P (xt = 1) = 1/2

Define the time series model

yt = wt (1 − wt−1 )xt .
Show that {yt } is white but not i.i.d.