Question: Prove that ARMA(p,q) have the same unique stationary solution 3.6. Suppose that { X,) is the ARMA process defined by $(B)X, = 0(B)Z,. {Z, )

Prove that ARMA(p,q) have the same unique stationary solution

Prove that ARMA(p,q) have the same unique stationary solution 3.6. Suppose that

3.6. Suppose that { X,) is the ARMA process defined by $(B)X, = 0(B)Z,. {Z, ) ~ WN(0, 67), where $( .) and O( .) have no common zeroes and (z) # 0 for |z| = 1. If (.) is any polynomial such that {(z) # 0for |z| = 1, show that the difference equations, (B) $(B) Y, = (B)O(B)Z,, have the unique stationary solution, { Y} = {X,}

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Mathematics Questions!