General linear processes - proof of cov(yt, yt-k)

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Reference no: EM133143207

Question: Working with general linear processes a type of time series.

Proof of cov(y_t, y_t-k). How did we end up with Φ^k.

Given cov(y_t, y_t-1) = Φ

Attachment:- properties of general linear process.rar

Reference no: EM133143207

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