Using Innovations algorithm, construct the predictor for X5 in terms of X1, X2, X3 and X4 generated from the MA(1) process defined by Xt = Zt ? 0.8Zt?1, where {Zt} ? WN(0,1). Also find its mean square error.

Q 3. Using Innovations algorithm, construct the predictor for X5 in terms of X1, X2, X3 and X4 generated from the MA(1) process defined by Xt = Zt - 0.8Zt-1, where {Z} ~ WN(0, 1). Also find its mean square error