Consider the ARMA(1,1) model yt 0.8yt1 = at + 0.4at1 with at ~ N(0, 0.49). Convert
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Consider the ARMA(1,1) model yt − 0.8yt−1 = at + 0.4at−1 with at ~ N(0, 0.49). Convert the model into a state-space form using (a)
Akaike's method,
(b) Harvey's approach, and
(c) Aoki's approach.
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