(c) For a MA model with iid innovations {a;}, re and a, are independent if s >t. (d) Consider the best linear prediction based on a causal and invertible ARMA model, if the prediction horizon becomes larger and larger, the prediction error variance will go to infinity.

A First Course in Probability (10th Edition)
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ISBN:9780134753119
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Chapter1: Combinatorial Analysis
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Indicate whether the following statements are (true or false).

 

(c) For a MA model with iid innovations {at}, rt and a, are independent if s >t.
(d) Consider the best linear prediction based on a causal and invertible ARMA model, if the
prediction horizon becomes larger and larger, the prediction error variance will go to infinity.
Transcribed Image Text:(c) For a MA model with iid innovations {at}, rt and a, are independent if s >t. (d) Consider the best linear prediction based on a causal and invertible ARMA model, if the prediction horizon becomes larger and larger, the prediction error variance will go to infinity.
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