I just recently started to learn about moving average process of order 1, however, I get confused if there are other things attached to the equation.
- For example: $Z_t = 8 + 2t + 5X_t$ where $X_t$ is a zero-mean stationary series with auto covariance function $r_k$
a) Find the mean function and the auto covariance function of $Z_t$
I am guessing:
Mean = $E[Z_t]=E[8+2t+5X_t]=E[8]+2E[t]+E[X_t]=0$
Covariance = $Cov[Z_t,Z_t]=E[Z_tZ_t]=E[8+2t+5X_t][8+2t+5X_t]=r_k^2$
Can someone please tell me if I did this correct?
- The questions says X_t is a zero-mean, unit variance, stationary process with autocorrelation function $p_k$.
Then how do I find the mean, variance, and auto covariance of
$Z_t = 8 + 2t + 4t\,X_t$ ?
Mean = $E[Z_t]=E[8+2t+4tX_t]=E[8]+2E[t]+4tE[X_t]=0$ ?
Variance = No idea
Covariance = I guess I just have to use corr(x,x)=$cov(x,x)/\sqrt(var(x)var(x))$ ?