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5. Suppose we have following stationary ARMA (1,1) process YcY-1 + Oet1 + et where et follows a white noise process, et ~WN(0,0%). (a)
5. Suppose we have following stationary ARMA (1,1) process YcY-1 + Oet1 + et where et follows a white noise process, et ~WN(0,0%). (a) Calculate the mean and variance of Yt. (b) Calculate the ACF of Yt. (c) Derive the formula of Et (Yt+h).
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Introduction to Real Analysis
Authors: Robert G. Bartle, Donald R. Sherbert
4th edition
471433314, 978-1118135853, 1118135857, 978-1118135860, 1118135865, 978-0471433316
