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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Related Book For
Time Series Modeling Computation And Inference
ISBN: 9781498747028
2nd Edition
Authors: Raquel Prado, Marco A. R. Ferreira, Mike West
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