6.5 If {Y,} is a causal ARMA process (with zero mean) and if X, is a random variable with finite second moment such that Xo is uncorrelated with Y, for each 1, 2,..., show that the best linear predictor of Yn+iin terms of 1, Xo, Y1,..., Y, is the same as the best linear predictor of Y,+1 in terms of 1, Y1,...., Yn.

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Question
2
6.5 If {Y,} is a causal ARMA process (with zero mean) and if X, is a random
variable with finite second moment such that Xo is uncorrelated with Y, for each
1, 2,..., show that the best linear predictor of Yn+jin terms of 1,
Xo, Y1,..., Y, is the same as the best linear predictor of Y,+1 in terms of
1, Y1,.... Yn.
Transcribed Image Text:6.5 If {Y,} is a causal ARMA process (with zero mean) and if X, is a random variable with finite second moment such that Xo is uncorrelated with Y, for each 1, 2,..., show that the best linear predictor of Yn+jin terms of 1, Xo, Y1,..., Y, is the same as the best linear predictor of Y,+1 in terms of 1, Y1,.... Yn.
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