1. World Decomposition for a non-lincar process. Let y = m + br-1, where n is i.i.d. N(0, o?), and b is a constant (a) Compute the autocovariances of yY-

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1. World Decomposition for a non-lincar process. Let y. = + bn-1, where n is i.i.d.
N (0, o), and b is a constant
(a) Compute the autocovariances of y:
(b) Give the World decomposition for y. What is the best linear predictor of y, based
on knowledge of b,o?, and -1: -2,. ?
(c) Suggest a consistent estimator of (b, o). Are any additional restrictions needed
for these parameters to be identified?
Transcribed Image Text:1. World Decomposition for a non-lincar process. Let y. = + bn-1, where n is i.i.d. N (0, o), and b is a constant (a) Compute the autocovariances of y: (b) Give the World decomposition for y. What is the best linear predictor of y, based on knowledge of b,o?, and -1: -2,. ? (c) Suggest a consistent estimator of (b, o). Are any additional restrictions needed for these parameters to be identified?
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