Show that following MA models are equivalentА:Yt = et – Oet-1for et ~WN(0, 1)В:1Yt = etWN(0, 0²)for et ~A et-1If 0 = 0.5, show that only model A is invertible, and find its infinite AR-representation

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Answered: Show that following MA models are…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Use 2.2.24 to solve 2.2.25 My argument should work for any alpha and any z_*
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Exercises 1.4. (a) Show that for any matrix A, Tr(A* A) = Ci=1E;=1\ais². We will write this more concisely as %3D Lemma 1.5. If A, B are unitarily equivalent then j=1|0;5P² = E"j=1lbijl².
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Show that following MA models are equivalent A: Yt = et – Oet-1 for et ~ WN(0, 1) 1 Yt = et for et ~ WN(0, 0² ) B: et-1 If e = 0.5, show that only model A is invertible, and find its infinite AR representation