Question related to forecasts

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Reference no: EM1371913

1. The time series Xt is generated by the ARIMA (1,1,2) model

(1-0.60B)(1-B)Xt= (1 - 0.86B + 0.30Bsquared)at

Where B is the back-shift operator, and at is white noise. Is there an exponential smoothing algorithm that generates the same forecasts as this model? If so, write down the recurrence form of that algorithm.

Reference no: EM1371913

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