Question
Identify the following models as ARMA(p, q) models (watch out for parameter redun- dancy), and determine whether they are causal and/or invertible. Why or Why
Identify the following models as ARMA(p, q) models (watch out for parameter redun- dancy), and determine whether they are causal and/or invertible. Why or Why not? (20 points)
a) xt = 1.5xt1 0.5xt2 + wt wt1. (10 points) b) xt = 1.3xt1 0.3xt2 + wt 0.6wt1 + 0.09wt2. (10 points)
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Statistical Inference Via Convex Optimization
Authors: Anatoli Juditsky, Arkadi Nemirovski
1st Edition
0691200319, 9780691200316
