Consider the following AR(3) process, X₁ = (a₁-a₂)X₁-1 + (a₁a2-a3)X₁-2 + a₁a3X₁-3 + Zt.
Consider the following AR(3) process, X₁ = (a₁-a₂)X₁-1 + (a₁a2-a3)X₁-2 + a₁a3X₁-3 + Zt.
MATLAB: An Introduction with Applications
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ISBN:9781119256830
Author:Amos Gilat
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Chapter1: Starting With Matlab
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Problem 1P
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Transcribed Image Text:Consider the following AR (3) process,
X₂ = (01-0₂) X-1 + (a₁a2-a3) X-2 + a₁03 X-3 + Zt.
(a) State the stationarity condition for this process.
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