Hey calculuskid1.
Doesn't the question already give you the definition (i.e. Xt = Zt*Yt)?
Hey guys, first time taking a time series class, need some help!
Let { } be an IID sequence with mean 0 and variance . (I think this is White Noise)
Let { } be a stationary sequence with a covariance function . Then it says assume and are independent of each other.
Define .
Verify that for k ≥ 1 we have Cov( , ) = 0 and Cov( , ) ≠ 0, that is { } is a white noise but not IID.
So Im not sure how to define ? Its the product of white noise ( ) and some stationary sequence ( )?
Any help would be appreciated.