Question: Consider the ARMA(1,1) model discussed in Example 3.8, equation (3.27); that is, xt = .9xt1 + .5wt1 + wt . Show that truncated prediction as

Consider the ARMA(1,1) model discussed in Example 3.8, equation (3.27); that is, xt = .9xt−1 + .5wt−1 + wt

. Show that truncated prediction as defined in (3.91) is equivalent to truncated prediction using the recursive formula (3.92).

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