Question: 6.9 Information matrix for MLE from circular CAR(1) process with nugget effect. Following on from Exercise 6.7, include a nugget effect in the CAR(1) model.

6.9 Information matrix for MLE from circular CAR(1) process with nugget effect. Following on from Exercise 6.7, include a nugget effect in the CAR(1) model. Recall that a CAR(1) process with regression parameter

???? and conditional variance ????2

???? can also be viewed as an AR(1) process with regression parameter ???? and residual variance ????2

???? . The parameters are related by?

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