Let {X t } be the bivariate time series whose components are the MA(1) processes

Let {Xt} be the bivariate time series whose components are the MA(1) processes

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Let {X t } be the bivariate time series whose components are the MA(1) processes
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defined by

Xt1 = Zt,1 + .8Zt−1,1{Zt1} ∼ IID (021),

and

Xt2 = Zt,2 − .6Zt−1,2{Zt2} ∼ IID (022),

where the two sequences {Zt1} and {Zt2} are independent.

a. Find a large-sample approximation to the variance of n1/2  width=h).

b. Find a large-sample approximation to the covariance of n1/2  width= (h) and

n1/2  width= (k) for ≠ k.

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