6.2. Show that the spectral density function matrix of {Xt} is given by

(6.13).

6.2 For an autoregressive model (6.33) with p = 1, give the log-likelihood ln(θ)

of (6.37) in an explicit form and simplify the likelihood equation

as simple as possible.

Transcribed Image Text:

l,(0) = 0, al(0) 2 =0