Derive the covariance matrices

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Reference no: EM131224901

The bivariate MA(4) model x_t = a_t - Θ₄a_t-4 is another seasonal model with periodicity 4, where {at} is a sequence of independent and identically distributed normal random vectors with mean zero and covariance matrix Σ.

Derive the covariance matrices Γ_l of x_t for l = 0,..., 5.

Reference no: EM131224901

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