Consider an AR(2) model: x₁ - x = (x₁_₁-x)+₂(x,-₁)+z,, where z, ~ - wn(0,0?)... ¡ – ¦(¹− Â₂) and ♣ – (Â₂ − ³²) using LSE method. 1-A 1-A² Show that =

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Consider an AR (2) model: x₁ - x = (x₁,₁ − x) + ₂(x₁_₂ − x)+ z,, where z., ~
Show that
=
A₁(1-₂) and
1-A²
and =
=
(P₂-p²)
1-A²
•wn(0,0²).
using LSE method.
Transcribed Image Text:Consider an AR (2) model: x₁ - x = (x₁,₁ − x) + ₂(x₁_₂ − x)+ z,, where z., ~ Show that = A₁(1-₂) and 1-A² and = = (P₂-p²) 1-A² •wn(0,0²). using LSE method.
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