Question: Exercise 7.9.9. Show that the variance for predicting k steps ahead in an AR(1) process is 2 1 2k 1 1 2 1 .

Exercise 7.9.9. Show that the variance for predicting k steps ahead in an AR(1)

process is

σ 2 1−φ 2k 1

1−φ 2 1

.

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