Assuming that E( Y 0 X ’ t ) = 0, for t ≥ 1, show

Suppose now that {Yt} is the multivariate ARIMA(p, 10process satisfying ∇Yt= Xt, where {Xt} is the AR process in (a). Assuming that E(Y0X’t ) = 0,  for ≥ 1, show

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and derive the error covariance matrices when = 12, and 3.

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