Exercise 7.9.9. Show that the variance for predicting k steps ahead in an AR(1) process is

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Exercise 7.9.9. Show that the variance for predicting k steps ahead in an AR(1)

process is

σ 2 1−φ 2k 1

1−φ 2 1

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Advanced Linear Modeling

ISBN: 9783030291631

3rd Edition

Authors: Ronald Christensen

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Question Posted: Aug 31, 2024 06:05 AM

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Exercise 7.9.9. Show that the variance for predicting k steps ahead in an AR(1) process is

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Advanced Linear Modeling

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