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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

    RUber

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    Homework Helper

    What is the covariance if h=0?
    How about h=1?
    It looks like it should decrease as h increases.
     
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