(a) Consider the ARMA(2,1) process {X,}, 0.45 X-1 – 0.05X, 2 + € – 0.2-1 2)

A First Course in Probability (10th Edition)
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Chapter1: Combinatorial Analysis
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(i) Express it as a
general linear process
(МА(0)), that is,
Xt
E-0 aj€t-j»
ao
1 and hence
find
Var(Xt).
Transcribed Image Text:(i) Express it as a general linear process (МА(0)), that is, Xt E-0 aj€t-j» ao 1 and hence find Var(Xt).
(a) Consider the ARMA(2,1) process {X+},
X = 0.45X,1-0.05X, 2+ € – 0.2g–1
zid(0, o?).
%3D
where et
Transcribed Image Text:(a) Consider the ARMA(2,1) process {X+}, X = 0.45X,1-0.05X, 2+ € – 0.2g–1 zid(0, o?). %3D where et
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