Question: consider the following ma2 process zt ut 1ut1...
Consider the following MA(2) process: , where ut is a zero-mean white noise process with variance .
(a) Calculate the conditional and unconditional means of , that is, and E.
(b) Calculate the conditional and unconditional variances of , that is, and Var.
(c) Derive the autocorrelation function of this process for all lags as functions of the parameters and .