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Consider the time series defined by $$Y_t = \phi Y_{t-1}+ \epsilon_t + \theta \epsilon_{t-1}$$

Why is $E(\epsilon_{t} Y_{t}) = \sigma_{\epsilon}^{2}$?

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    You might get better results at stats.stackexchange.com. I'm not sure what the variables here are and therefore can't try to help.2012-07-03
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    This is indeed more appropiate for stats.stackexchange.com or dsp.stackexchange.com Actually, this is a ARMA(1,1) process2012-07-03

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