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.
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.
Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
Problem 1RQ
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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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