Simplify the retrospective ltering of Equation (10.12) for the case of a univariate time series, q =

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Simplify the retrospective ltering of Equation (10.12) for the case of a univariate time series, q = 1Describe how the retrospectively simulated values of past time-varying precisions now depend on a sequence of ran dom retrospective shocks that have 2 ht distributions (t = (T 1) : 1)

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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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