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Thread: Autoregressive Process HELP

  1. #1
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    Autoregressive Process HELP

    Hi,
    Ive been stuck on this practice question (3a) for ages and i can't figure it out.
    Autoregressive Process HELP-1488991741203-509215199.jpg

    If you could point me in the right direction that would be great!
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  2. #2
    MHF Contributor
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    Re: Autoregressive Process HELP

    Hey lac220.

    What class are you taking? Is this graduate or undergraduate?

    In an AR(1) you have a coefficient that should have an absolute value less than 1 for stationarity. You study whether the variance and expectation become finite and that will involve a bit of algebra and statistics.

    You might want to look at the expectation, variance and covariance of AR(1) and then either deduce these for yourself or get the results from a book.

    Take a look here for more information:

    https://en.wikipedia.org/wiki/Autore...281.29_process
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