The autoeorrelation lag entries of matrix

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Reference no: EM131059813

Prove Theorem 7.4

THEOREM 7.4

If the autoeorrelation lag entries of matrix R₁ of Eq. (7.45) correspond to thosc of an ARMA process of ordcr (p₁, q₁, the rank of R₁ isp₁, provided that p ≥ p₁ and q ≥ p₁.

Reference no: EM131059813

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