Consider a MA(2) process. (a) Find its ACF. (b) Use the innovations algorithm to obtain the one-step-ahead

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Consider a MA(2) process.

(a) Find its ACF.

(b) Use the innovations algorithm to obtain the one-step-ahead predictor and its mean square error.

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Time Series Modeling Computation And Inference

ISBN: 9781498747028

2nd Edition

Authors: Raquel Prado, Marco A. R. Ferreira, Mike West

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