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Mathematics, 22.02.2021 17:40 avagracegirlp17zx2

If {xt } is stationary with E [xt] = 0 and corr(xt , xt āˆ’1) = rho1, show that the best linear predictor of xt based on xt āˆ’1 is rho1xt āˆ’1. (You will need to use calculus to do this problem. Here are some hints. First, define the random variables Y = xt , X = xt āˆ’1. Consider any linear predictor YĖ† = a + bX , where a and b are any numbers. Consider the mean squared forecasting error, MSE = E [Y āˆ’ YĖ†] 2 = E [Y āˆ’ (a + bX )]2.

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If {xt } is stationary with E [xt] = 0 and corr(xt , xt āˆ’1) = rho1, show that the best linear predic...
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