Do they have the same auto correlation functions

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Reference no: EM131231715

Let us assume that θ ∈ (-1, +1) is known, that {W_t} is a Gaussian white noise with variance one, and that is a Gaussian white noise with variance θ². Show that the MA(1) time series {X_t}_t defined by:

Show that the MA(1) time series {X_t}_t defined by:

have the same auto-covariance functions. Do they have the same auto-correlation functions?

Reference no: EM131231715

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