1- Let Xt be a stationary time series with mean and autocovariances k.docx

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The time series Xt is stationary with mean μ=6 and autocovariances γk=0.8k. The expected value E(X) is equal to the mean μ, which is 6. The variance Var(X) is equal to the autocovariance at lag 0, γ0, which is 10.

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1. Let X t be a stationary time series with mean and autocovariances k = 0. 8 k and X = t = 6 10
X t /5 (a) Find E ( X ) . (b) Find Var ( X ) .

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