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2. Show that the AR(3) process Y, = B, + B,Y,-1 + B,Y,-2 + B3Y-3 +ɛ, can be written as AY, = B, + pY,-1 +8,AY-1 +8,AY_2 + ɛ, %3D where p = B + B, + ß, –1. Find expressions for & and &, in terms of the ß’s.

2. Show that the AR(3) process Y, = B, + B,Y,-1 + B,Y,-2 + B3Y-3 +ɛ, can be written as AY, = B, + pY,-1 +8,AY-1 +8,AY_2 + ɛ, %3D where p = B + B, + ß, –1. Find expressions for & and &, in terms of the ß’s.

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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2. Show that the AR(3) process Y, = Bo + B,Y,-1 + B,Y,-2 + B3Y,-3 + &, %3D can be written as AY, = Bo+ pY,-1 + 8,AY-1 + 8,AY,-2 + ɛ, where p= B + B, + ßz –1. Find expressions for 8, and 8, in terms of the B's.
Transcribed Image Text:2. Show that the AR(3) process Y, = Bo + B,Y,-1 + B,Y,-2 + B3Y,-3 + &, %3D can be written as AY, = Bo+ pY,-1 + 8,AY-1 + 8,AY,-2 + ɛ, where p= B + B, + ßz –1. Find expressions for 8, and 8, in terms of the B's.
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