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statistic ~Can anyone help me solve 3.12 ??? thank you very much Show that the value at lag 2 of the partial AC'F of the
statistic ~Can anyone help me solve 3.12??? thank you very much
Show that the value at lag 2 of the partial AC'F of the MA(1) process x t = z t, +thetaz t-1, t = o, i,..., where {Z t} ~ WN(0, sigma 2), is alpha(2) = -theta 2/(1+theta 2 + theta 4). For the MA(1) process of Problem 3.11, the best linear predictor of X n+1 based on X 1,..., X n is X n+l = Phi n,1 X n +...+ Phi n,n X 1, where Phi n = Phi n1,..,Phi nn )' satisfies = R n Phi n = P n (equation (2.5.23)). By substituting the appropriate conflations into R n and p n and solving the resulting equations (starting with the last and working up), show that for 1 jStep by Step Solution
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