Let {x} be an ARIMA process (2,1,0) given by:(10.8B+0.25B²)VXt = Zt {Z}~WN(0,1)Determine the forecast function g(h) = PnXn+n h>

Given: be an ARIMA process which is given by: {Z_t}~WN(0,1) To Determine: The Forecast function

Answered: Let {x} be an ARIMA process (2,1,0)…

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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Let {x} be an ARIMA process (2,1,0) given by: (1-0.8B +0.25B²) VX₁ = Zt {Z}~WN(0,1) Determine the forecast function g(h) = PnXn+h