Question

True or false? You do not have to provide explanations.

(a) Any moving average (MA) process is covariance stationary.

(b) Any autoregressive (AR) process is invertible.

(c) The autocorrelation function of an MA process decays gradually while the partial autocorrelation function exhibits a sharp cut-off.

(d) Suppose yt is a general linear process. The optimal 2-step-ahead prediction error follows MA(2) process.

(e) Any autoregressive moving average (ARMA) process is invertible because any moving average (MA) process is invertible.

(f) The autocorrelation function of any ARMA process decays gradually while the partial autocorrelation function exhibits a sharp cut-off.

(g) Any ARMA(p,q) process can be represented as a general linear process.

Answer 1

(a) Any moving average (MA) process is covariance stationary.

False

(b) Any autoregressive (AR) process is invertible.

Yes

(c) The autocorrelation function of an MA process decays gradually while the partial autocorrelation function exhibits a sharp cut-off.

True

(d) Suppose yt is a general linear process. The optimal 2-step-ahead prediction error follows MA(2) process.

True

(e) Any autoregressive moving average (ARMA) process is invertible because any moving average (MA) process is invertible.

False

(f) The autocorrelation function of any ARMA process decays gradually while the partial autocorrelation function exhibits a sharp cut-off.

True

(g) Any ARMA(p,q) process can be represented as a general linear process.

True