Let { Yt } be the MA(1) process

Let {Yt } be the MA(1) process

Don't use plagiarized sources. Get Your Custom Essay on
Let { Yt } be the MA(1) process
Just from $13/Page
Order Essay

YtZtθZt−1{Zt} ∼ WN(02).

Show that {Yt } has the state-space representation

Yt= [1 0]Xt ,

where {Xt} is the unique stationary solution of

 width=

In particular, show that the state vector Xtcan written as

 width=

Leave a Reply

Your email address will not be published. Required fields are marked *

*

*

*