Question: help pls thx 5 AR(1) Consider a causal, zero mean AR(1) model Xt - Xt-1 = Wt for some independent white noise {Wt} with variance
help pls thx

5 AR(1) Consider a causal, zero mean AR(1) model Xt - Xt-1 = Wt for some independent white noise {Wt} with variance o2. 1. Derive the general form of the best predictor Xnom of Xntm in terms of X1, ..., Xn. (Your result should be linear, meaning the best predictor is also the best linear predictor!) (1 point) 2. Show that E (Xntm - Xntm)? = 021 - 82m 1 - 62 Hint: First show that Xntm = om Xn + 2; o pWntm-j. (2 points) 3. Given X1, ..., X7 and o, what is the best mean-square predictor of X10? Provide reasoning for your answer. (1 point)
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