H17 - H17 HW8 (due Mar. 27). Exercises 12.4, 12.5 from the...

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H17 HW8 (due Mar. 27). Exercises 12.4, 12.5 from the textbook and Problem 1 Consider VARMA model 11 1 tt t 1 t = Φ+ + Θ X XZ Z , where 1 0.7 0.7 0.7 0.7 Φ= and 1 0.6 0.4 0.2 0.4 Θ= . Is the model stationary and invertible? Problem 2 Find a state-space representation of the following model: 1 0.6 t X ZZ =+ _______________________________________________________________________________________________________ In practice, any sort of signal is usually contaminated by noise. We’ll assume that the signal is a linear combination of a set of variables, called state variables , which constitute what is called the state vector at time t , t X , describing the state of the system . The state-space model consists of a state equation for the state vector and an observation equation . In its basic form, the equatin for the state vector, the state equation , is VAR(1), 1 t t = X XV , where t X and are v -dimensional, is a zero-mean WN with covariance matrix Q , t V t V and
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This note was uploaded on 09/23/2009 for the course MATH 200 taught by Professor Gur during the Spring '09 term at Accreditation Commission for Acupuncture and Oriental Medicine.

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H17 - H17 HW8 (due Mar. 27). Exercises 12.4, 12.5 from the...

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