Question: 1 . ( Forecasting an AR ( 1 ) process with known and unknown parameters ) Under the assumption that the errors et are il.

1 . ( Forecasting an AR ( 1 ) process with known and unknown parameters ) Under the assumption that the errors et are il. d . random variables with mean O and variance of , and all parameters are known . use the chain rule to forecast the stationary AR ( 1 process of the form Put - 1 te ( a ) Show that the optimal forecasts are 3 / T + LI = QUI YT + 2 I = FYI 3 Ith I = 4 3

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