1. World Decomposition for a non-lincar process. Let y. = + bn-1, where n is i.i.d. N (0, o), and b is a constant (a) Compute the autocovariances of y: (b) Give the World decomposition for y. What is...

1. World Decomposition for a non-lincar process. Let y. = + bn-1, where n is i.i.d.<br>N (0, o), and b is a constant<br>(a) Compute the autocovariances of y:<br>(b) Give the World decomposition for y. What is the best linear predictor of y, based<br>on knowledge of b,o?, and -1: -2,. ?<br>(c) Suggest a consistent estimator of (b, o). Are any additional restrictions needed<br>for these parameters to be identified?<br>

Extracted text: 1. World Decomposition for a non-lincar process. Let y. = + bn-1, where n is i.i.d. N (0, o), and b is a constant (a) Compute the autocovariances of y: (b) Give the World decomposition for y. What is the best linear predictor of y, based on knowledge of b,o?, and -1: -2,. ? (c) Suggest a consistent estimator of (b, o). Are any additional restrictions needed for these parameters to be identified?

Jun 09, 2022

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1. World Decomposition for a non-lincar process. Let y. = + bn-1, where n is i.i.d. N (0, o), and b is a constant (a) Compute the autocovariances of y: (b) Give the World decomposition for y. What is...

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