Use equation to show that for n > p , the likelihood of the observations { X 1 , . . . , X n } of the causal AR( p ) process defined by X t = φ 1 X t −1 +· · ·+ φ p X t − p + Z t , { Z t } ∼ WN(0 ,σ 2...

Use equation to show that forn > p, the likelihood of the observations {X
₁
, . . . , X_n
} of the causal AR(p) process defined by

X_t
=φ
₁
X_t

₋₁ +· · ·+φ_pX_t

_−p+Z_t ,{Z_t
} ∼ WN(0,σ
²),

May 25, 2022