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(Solved): Consider the AR(1) series x_(t)=\phi x_(t-1)+w_(t), where w_(t) is white noise with variance \sigma ...
Consider the
AR(1)series
x_(t)=\phi x_(t-1)+w_(t),where
w_(t)is white noise with variance
\sigma _(w)^(2)and the model parameters are known. Suppose that we have observed
x_(1)and
x_(3), and we would like to estimate the missing value
x_(2). Find the best linear predictor of
x_(2)in terms of
x_(1),x_(3)and
\phi .
