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Satisfy the stochastic difference equation

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Reference no: EM13693363

Consider the covariance stationary time series that satisfy the stochastic difference equation

(1 - 0.2B)(1 - 0.4B)(1 - 0.6B)Xt = Zt , where {Zt} is WN(0,1).


Express the time series as an infinite moving average process and derive a closed form expression for the coefficients of the moving average representation in terms of the roots of the autoregressive polynomial.

Reference no: EM13693363

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