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Problem 2.1 Consider a process consisting of a linear trend with an additive noise term consisting of independent random variables Zt with zero means and variances σ2, that is, where Arßi are fixed constants. a) Prove that Xe is non-stationary b) Prove that the first difference series VX,-X, -X-1 is stationary by finding its mean and autocovariance function. c) Repeat part (b) if Z is replaced by a general stationary process, say Y,, with mean function py and autocovariance function γΥ(h).

math   Statistics-And-Probability   
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