(i) Express it as a general linear process (MA(∞)), that is,Xt = Σjo ªjet-j, ao = 1 and hence findVar(Xt). (a) Consider the ARMA(2,1) process {Xt},Xt = 0.45Xt-1 − 0.05Xt-2 + €t - 0.2€t-1where t~ iid(0, 0²).

Given Information Xt=∑j=0ajεt-j,ao=1 Note: According to Bartleby guidelines expert solve only…

Answered: (i) Express it as a general linear…

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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(i) Express it as a general linear process (MA()), that is, Xt = ao Σªj¤t-j, ªo = 1 and hence find Var(Xt).