Assume that |0| < 1, Formulate an AR(1) as an MA(oo), that is: Social Sciences Data and Statistics Homework, NTU, Singapore

University Nanyang Technological University (NTU)
Subject Social Sciences Data and Statistics

Question 1
Given the AR(1) model:


Y (a) Assume that |0| < 1, formulate an AR(1) as an MA(oo), that is:

(b) Determine the following covariances based on the result of (a): (i) cov(YoY_i)

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