Question: Consider the linear zero-mean ARMA(p, p) model where ????t is a sequence of iid random variates following N(0, ????2). Derive the Shumway and Stoffer state

Consider the linear zero-mean ARMA(p, p) model P Yt = ++ 01 i=1 i=1

where ????t is a sequence of iid random variates following N(0, ????2). Derive the Shumway and Stoffer state space representation for yt given in Section 6.2.1.

P Yt = ++ 01 i=1 i=1

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