6.5 If {Y,} is a causal ARMA process (with zero mean) and if X, is a random variable with finite second moment such that Xo is uncorrelated with Y, for each 1, 2,..., show that the best linear predictor of Yn+iin terms of 1, Xo, Y1,..., Y, is the same as the best linear predictor of Y,+1 in terms of 1, Y1,...., Yn.

6.5 If {Y,} is a causal ARMA process (with zero mean) and if X, is a random variable with finite second moment such that Xo is uncorrelated with Y, for each 1, 2,..., show that the best linear predictor of Yn+iin terms of 1, Xo, Y1,..., Y, is the same as the best linear predictor of Y,+1 in terms of 1, Y1,...., Yn.

Algebra & Trigonometry with Analytic Geometry

13th Edition

ISBN:9781133382119

Author:Swokowski

Publisher:Swokowski

Chapter10: Sequences, Series, And Probability

Section10.8: Probability

Problem 31E

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