Question: If ???????? = ????=1 ????????????????+1????, then for models (1) and (2) of Exercise 4.1, which are of the form (1 ????)???????? = (1
If ????̄???? = ∑∞
????=1 ????????????????+1−????, then for models (1) and (2) of Exercise 4.1, which are of the form (1 − ????)???????? = (1 − ????????)????????, ̄???????? is an exponentially weighted moving average.
For these two models, by actual calculation, confirm that ????̄11, ̄????12, and ????̄13 satisfy the relations ???????? = ̄????????−1 + ???????? (see Exercise 4.5)
̄???????? = ̄????????−1 + (1 − ????)????????
= (1 − ????)???????? + ???? ̄????????−1
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