At the end of Section 11.2, we illustrated the circulant embedding method by generating simulated series of length N = 1024 from the AR(2) process of Equation (34) – see Figure 603 and the discussion...

At the end of Section 11.2, we illustrated the circulant embedding method by generating simulated series of length N = 1024 from the AR(2) process of Equation (34) – see Figure 603 and the discussion surrounding it. Replicate what was done there, but now using the AR(4) process of Equation (35a); in particular, generate the equivalent of Figure 603. We also used the AR(2) process to illustrate GSSM (see the paragraph containing Equation (609)), but did not show the equivalent of Figure 603 (such a figure was not needed because it turned out to be visually identical to Figure 603). Replicate what was done there, but now using the AR(4) process; if need be, generate the equivalent of Figure 603. Comment upon your findings.