Exercise 10 5 Consider an ARMA(p,q) and set r max(p, q) Show that the coefficients 1, , r, from the MA representation of an ARMA(p,q) satisfy the following equations j 1 V 0 j koj k j 1, ,r k 1...

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Exercise 10.5 Consider an ARMA(p,q) and set r = max(p, q). Show that the coefficients 1, .

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Exercise 10.5 Consider an ARMA(p,q) and set r = max(p, q). Show that the coefficients ψ1, . . . , ψr, from the MA representation of an ARMA(p,q) satisfy the following equations:

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 07:00 AM

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Exercise 10.5 Consider an ARMA(p,q) and set r = max(p, q). Show that the coefficients 1, .

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j-1 V = 0; j + koj-k j {1,...,r}. k=1

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Statistical Methods For Financial Engineering

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