ConsidertheAR(1)processyt= yt 1+ t with t N(0v) If <1 thenyt= j=0 j t j.Usethisfacttoprovethaty1 N(0v (1 2))

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ConsidertheAR(1)processyt= yt 1+ t with t N(0v) If <1 thenyt= j=0 j t j.Usethisfacttoprovethaty1 N(0v (1 2))

andthat,asaconsequence,thelikelihoodfunctionhastheform(1.17).

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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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