Exercise 10.4 Consider an ARMA(2,2) model with parameters 1 = 0.4, 2 = 0.1 and 1 =

Exercise 10.4 Consider an ARMA(2,2) model with parameters φ1 = 0.4, φ2 = −0.1 and

θ1 = −0.3, θ2 = 0.1.

(a) Using Proposition 10.1.1, find F, g, and a.

(b) Compute U0|0.

(c) Using (10.3), compute f2 i and Ui|i for i ∈ {1, . . . , 10}.