1. Limited time only! Sign up for a free 30min personal tutor trial with Chegg Tutors
    Dismiss Notice
Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Moving Average Process

  1. Oct 19, 2014 #1
    1. The problem statement, all variables and given/known data
    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

    2. Relevant equations

    3. The 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) + u_(s-t+1)

    Is this set up correctly, it only really works for s = 2t or something weird like that.
  2. jcsd
  3. Oct 20, 2014 #2


    User Avatar
    Homework Helper

    What is the covariance if h=0?
    How about h=1?
    It looks like it should decrease as h increases.
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Have something to add?
Draft saved Draft deleted

Similar Discussions: Moving Average Process
  1. Poisson Process (Replies: 2)