Question

A particular random variable follows a process given by V[t]=1+0.4 ∗

E[t−1]+F[t], where E[t] is a Gaussian White Nocse innovation wath mean 0 and variance of 1 (this process is not estimated. but rather we know the true data generating process as described herel. Theoretically, the first order autocorrelation coefficient is approximately

Answer 1

The first order autocorrelation coefficient in this case is 0.4.

Step-by-step explanation:

The first order autocorrelation coefficient can be determined by examining the equation for V[t].

Given V[t] = 1 + 0.4 * E[t-1] + F[t], we can observe that the first order autocorrelation coefficient is the coefficient of E[t-1].

Therefore, the first order autocorrelation coefficient in this case is 0.4.