Convert the model into a state-space form- if eet c which, Finance Basics

Convert the model into a state-space form- if eet c which

Consider the AR(3) model

and suppose that the observed data are

where {e_t} and {a_t} are independent and the initial values of x_j with j ≤ 0 are independent of et and at for t > 0.

(a) Convert the model into a state-space form.

(b) If E(e_t) = c, which is not zero, what is the corresponding state-space form for the system?

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Finance Basics: Convert the model into a state-space form- if eet c which

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Finance Basics: Convert the model into a state-space form- if eet c which

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