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Thread: Time Series Help!

  1. #1
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    Time Series Help!

    Hey guys, first time taking a time series class, need some help!
    Let {$\displaystyle Z_{t}$} be an IID sequence with mean 0 and variance $\displaystyle \sigma^2$. (I think this is White Noise)
    Let {$\displaystyle Y_{t}$} be a stationary sequence with a covariance function $\displaystyle \gamma_{y}(k)$. Then it says assume $\displaystyle Z_{t}$ and $\displaystyle Y_{t}$ are independent of each other.
    Define $\displaystyle X_{t}=Z_{t}Y_{t}$.
    Verify that for k ≥ 1 we have Cov($\displaystyle X_{t}$,$\displaystyle X_{t+k}$) = 0 and Cov($\displaystyle X^2_{t}$,$\displaystyle X^2_{t+k}$) ≠ 0, that is {$\displaystyle X_{t}$} is a white noise but not IID.


    So Im not sure how to define $\displaystyle X_{t}$? Its the product of white noise ($\displaystyle Z_{t}$) and some stationary sequence ($\displaystyle Y_{t}$)?
    Any help would be appreciated.
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  2. #2
    MHF Contributor
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    Re: Time Series Help!

    Hey calculuskid1.

    Doesn't the question already give you the definition (i.e. Xt = Zt*Yt)?
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