Homework Statement
Please see the attached file.
Homework EquationsThe Attempt at a Solution
If my math is right so far, I am basically stuck as to what to do with the E(t) term. [/B]
Homework Statement
Y_t = u_(t-1) + u_(t) + u_(t+1) where u~WN(0,sigma^2)
Find expected value, and auto covariance as a function of lag h = s-t for some s and t
Homework EquationsThe Attempt at a Solution
so E(y) = 0
cov(Y_t, Y_h) = cov(u_(t-1) + u_(t) + u_(s-t+1), u_(s-t-1) + u_(t) +...
Homework Statement
A standard procedure for finding an approximate mean and variance of a function of a variable is to use a Taylor Expansion for the function about the mean of the variable. Suppose the variable is y, and that its mean and standard deviation are "u" and "o".
f(y) = f(u) +...