6.16 Use Property P6.6 to complete the following exercises. (a) Write a univariate AR(1) model, yt =
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6.16 Use Property P6.6 to complete the following exercises.
(a) Write a univariate AR(1) model, yt = φyt−1 + vt, in state-space form. Verify your answer is indeed an AR(1).
(b) Repeat
(a) for an MA(1) model, yt = vt + θvt−1.
(c) Write an IMA(1,1) model, yt = yt−1 + vt + θvt−1, in state-space form.
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Related Book For 
Time Series Analysis And Its Applications With R Examples
ISBN: 9780387293172
2nd Edition
Authors: Robert H. Shumway, David S. Stoffer
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