Question: The exercise concerns the Durbin - Levinson algorithm and the innovations algorithm. a ) Show that if the process is AR ( p ) ,

The exercise concerns the Durbin-Levinson algorithm and the innovations algorithm.
a) Show that if the process is AR(p), the coefficients \phi_{nj}=0 for j > p.
b) Show that if the process is MA(q), the coefficients \theta_{nj}=0 for j > q.

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