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Q131Section III (Statistics)131 of 145

MA(1) with θ\theta and 1/θ1/\theta: identical autocorrelations

Let Xt=Zt+θZt−1X_t=Z_t+\theta Z_{t-1} and Yt=Zt+1θZt−1Y_t=Z_t+\frac1\theta Z_{t-1}, Zt∼Z_t\sim iid N(0,1)N(0,1). Which statement is true?

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