Exercise 10.1 For a MA(1) model, show that for all i ≥ 1, Zi|i =

Yi − μ

−θ ei f2 i

and Ui|i =

0 0 0 θ2 (f2 i

−1)

f2 i



, with f2 i+1 = 1+θ2 − θ2 f2 i

, e1 = Y1 − μ, and ei+1 =

Yi+1 − μ + θ ei f2 i

.