Let $\Phi (z)=1-{\varphi }_{1}z-\cdots -{\varphi }_p{z}^p$. The causality root criterion for an autoregressive model,is a sufficient condition for a weakly stationary process solution, and gives the causal solution $X_t={\sum }_{j\ge 0}{\psi }_j{\epsilon }_{t-j}$. Indeed $1/\Phi$ is analytic in a disk of radius greater than one, so its Taylor coefficients ${\psi }_j$ decay geometrically. The series therefore has mean-square convergence and defines a linear filter of a stationary time series; multiplying by $\Phi$ verifies the equation.

For the specified order-two model, put $\phi =(1+\sqrt{5})/2$. Since $\phi -{\phi }^{-1}=1$,When $\alpha \ne 0$, its roots are $1/(\alpha \phi )$ and $-\phi /\alpha$. Both have modulus greater than one exactly when $|\alpha |<1/\phi$. The case $\alpha =0$ is white noise and satisfies the same inequality. ConsequentlyThis is the causal stationarity condition selected above. Without causality, a two-sided autoregressive model can also have a noncausal stationary autoregression when its polynomial has no unit-circle zeros. Thus the inequality is not a necessary condition for all conceivable weak stationarity solutions; the causal interpretation is the one required by the subsequent innovations and forecasting questions.

To find the Wold representation, expand $1/\Phi (z)={\sum }_{j\ge 0}{\psi }_j{z}^j$. Matching coefficients gives ${\psi }_0=1$, ${\psi }_1=\alpha$ and ${\psi }_j=\alpha {\psi }_{j-1}+{\alpha }^2{\psi }_{j-2}$. HenceHere $F_1=F_2=1$ are the Fibonacci numbers. The coefficient formula also follows by partial fractions in the displayed factorization. Absolute summability follows from $|\alpha \phi |<1$ and $|\alpha /\phi |<1$. The past observation span equals the past noise span, because the causal series gives one inclusion and ${\epsilon }_t=X_t-\alpha X_{t-1}-{\alpha }^2{X}_{t-2}$ gives the reverse inclusion. Thus these noises are the linear innovations, and there is no additional deterministic component. This is the Fibonacci-coefficient autoregression.

The best linear prediction from an infinite past is the orthogonal projection onto the closed span of $X_T,X_{T-1},\dots$. Future white noise is orthogonal to that span. Substitution in the recursion therefore givesThe respective errors are ${\epsilon }_{T+1}$ and $\alpha {\epsilon }_{T+1}+{\epsilon }_{T+2}$, so their mean squared errors are ${\sigma }^2$ and $(1+{\alpha }^2){\sigma }^2$. No normal distribution assumption is needed for these linear forecasts.

A real weakly stationary process has finite second moments, a time-independent mean $\mu$, and autocovariance function ${\gamma }_k=\mathrm{Cov}(X_t,X_{t+k})$ depending only on the lag. Use the angular-frequency conventionThe time-series spectral density is nonnegative and integrates to ${\gamma }_0$. The displayed Fourier series is ordinarily justified by ${\sum }_k|{\gamma }_k|<\infty$. More generally, weak stationarity gives a spectral measure of a stationary time series, not necessarily a spectral density. If a spectral density exists without this summability, its Fourier inversion can be understood using Fejér sums, which converge in $L^1$ and at its Lebesgue points. Thus spectral density existence should not be inferred from weak stationarity alone.

A white noise process $WN(0,{\sigma }^2)$ has mean zero and $\mathrm{Cov}({\epsilon }_t,{\epsilon }_s)={\sigma }^2{1}_{\{t=s\}}$. Neither independence nor a normal distribution is needed for this second-order definition. Its autocovariance function is zero at nonzero lags, soFor a real absolutely summable filter $(c_r)$, the series defining $Y_t$ has mean-square convergence: its tails have $L^2$ norm at most $\Vert X_0{\Vert }_2{\sum }_{\text{tail}}|c_r|$. Its mean is $\mu {\sum }_r{c}_r$, andThe sum is absolutely convergent, since $|{\gamma }_X(j)|\le {\gamma }_X(0)$ by the Cauchy-Schwarz inequality. It depends only on $k$, proving that the output is a weakly stationary process. Substitute the spectral integral for ${\gamma }_X$ and interchange the sums and integral, justified by $f_X\in L^1$ and ${\sum }_{r,s}|c_r{c}_s|<\infty$. This givesBecause the coefficients are real, the two factors are complex conjugates. Hence the spectral density transformation under a linear filter isFor complex coefficients the same formula holds with the conjugate-covariance convention.

Applying this result to the order-two moving-average model yieldsEquivalently, its nonzero autocovariances are ${\gamma }_0={\sigma }^2(1+{\theta }_1^2+{\theta }_2^2)$, ${\gamma }_1={\sigma }^2{\theta }_1(1+{\theta }_2)$ and ${\gamma }_2={\sigma }^2{\theta }_2$, together with ${\gamma }_{-k}={\gamma }_k$.

For the order-one moving-average process, invert its filter by a geometric series. The required coefficients areThey are absolutely summable for $|\theta |<1$. Direct cancellation giveswith mean-square convergence. Thus the inverse filter recovers exactly the original white noise process, including its variance; it is an invertible time-series representation.