Question: Consider the PACF TVAR(2) parameterization in Example 5.4. Simu late data x1:T from this model. (a) Sketch and implement a SMC algorithm for ltering and

Consider the PACF TVAR(2) parameterization in Example 5.4. Simu late data x1:T from this model.

(a) Sketch and implement a SMC algorithm for ltering and smoothing assuming that v and w are known.

(b) Sketch and implement a SMC algorithm for ltering and smoothing assuming that v and w are unknown.

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