Consider the transfer function model in the Exercise 6.8 with b = 2, r = 1, and s = 0. Now assume that the noise model is MA(1). Find the forecasts in terms of the transfer function and noise model parameters. What difference does this noise model make on the forecasts?
Exercise 6.8Consider a transfer function model with b = 2, r = 1, and s = 0. Assume that the noise model is AR(1). Find the forecasts in terms of the transfer function and noise model parameters.
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