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    Time Series Analysis (James D Hamilton) [Princeton, 1994]

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    35 views407 pages

    Time Series Analysis (James D Hamilton) (Princeton, 1994)

    Uploaded by

    Baigalmaa Nyamtseren

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    of 407
    ‘Time Series Analysis James D. Hamilton 4 f- Snel a A ae Contents 1 Difference Equations LL Fi-Onder Difeence Egustions | NZ. ptvOndor Diferense Equstione 7 AMENDS 1A Pra hate opine 2 Lag Operators 2. troduction 25 23, Seeand-Oruer Dierence Equations 29 24, pth-Order Diference Equations 13 25. nil Condon and Unounded Sequences 36 ences 2 ‘J Siationary ARMA Procenses 41, Expectations. Statomity, and Enpdicity 43 32. White Nowe 47 33. Moving Average Prosses 48 3 Amoreprenive Proceser 31 35. Mined Avorepresne Moning Average Proceses 9! 1 5 7 5 e | oct 34. The Autocovarane-Generaing Function 61 37. Inverbty of ie a tn ncn Eee 70 one 1 FForecasing 3 444. Principles of Forecasting 72 $2 Forecasts Based om an Infinte Number of Observations 7 43 Forecasts Based ona Finite Number of Observations 85 44, The Thngular Factorization ofa Positive Definite Symmetie Mace #7 45. Updating» Linear Projection 92 46 Optimal Forecasts for Gassan Processes 100, 47. Sums of ARMA Proseses TD 48 Wolds Decomposition ua the BoxJenkins Modeling Philosophy. 18 ay es en OS Reson Mare for a Muy Poces fag ne" oe Coven Eure HS Rees 6 ‘5 Maximum Likelihood Extmaiion 1177 ~ 54. Invodvetion 117 52, The Likelihood Fuscon for « Gaussian ARC) Proce 118 53. The Lleliiood Fusction for « Gausian AR(p) Process 128 54. The Lkeinood Fenton for « Gaussian MA(1) Proves 127 53, The Likelibood Function for a Gaussian MA(@) Process 10 56. The Likelihood Function fr a Gausian ARMA(D, 4) Process 132 5.2. Numeral Optimization 133 sa. so, oa 7 EB at 82 83 94 92 Estimation 142 equality Consens 186 APPENDIC S.A Pr of hrs Prpstinr Pier 10 eee 50 Spectral Analysis “The Population spect 182 ‘The Sample Perodogram 158 stating the Popalaion Spectrom 163, Uses of Spectra Analyse 1 APPENDIX 6. Prof har 6 Prion 172 aoe 18 Reece Asympiotie Disiibution Theory Review of Asymptotic Dsebuion Tacory 180 Limit Theorems for Sevlly Dependent Otmeratons 8 APPENDUS 7.8 Proof Cpe 7 Ppa 195 Tinear Regresion Models Review of Ordinary Lest Squares with Determinstc Repressor and id, Gouin Disturbances 2 Onfinary Less Squires Under More General {Conitons 207 (Generalized Least Squares 220 APPENDIN 8. Prof har 8 Poon 28 Eu 20 Roe 3 Linear Systems of Somalianeous Equations Smuttancows Equation Bis 283 Inseumental Varles and Two-Stage Least Suares 238 TE 780 0 Be oe 9s 9 ma. 1 We. ua, “a emtifaion 283 A Faltnformaton Masimum Liteinood Estimation 247 Estimation Based onthe ReGuced Form 280 (veri of Simultaneous Egetions Bias 252 APPENDIX. Pr of hag 9 Prion 20 ara 8 Rene 386 Covariance Stationary Vector Processes 257 Introdstion to Vector Avtoregesions 257 ‘Autosovariances and Convergence Results ‘The Autecotrianse-Genertng Futon for Vector Processes 266 ‘The Spectrum for Vector Processes 268 “The Sample Mean ofa Vector Proves 2! APPEND 1 Pf Chg I Prion 246 Leecuer 20 Rees 390 ‘ID Vecior Auaoregresons ot Maximum Likelihood Estimation and Hypothess “esting for an Unresrited Vector Autorepression 291 Bivariate Granger Causality Tests 312 Maximum Likeiiood Estimation of Restrited Vector Autorepresions 39 The Impalse-Response Function 318 Varince Decompontion 323 ‘Vecor Autorepresio’ and Structural Econometric Mosel 304 Standard Eto for Inpube- Response Fonction 336 APPENDIN HA, Pf of Chip If Ppt 0 APPENDED, Calan of tie Des Each eee 3 w 152) Tavesian Analisis BT Inuoton to Bayeon Analyse 38 Hyena Anal of Vector Autoreresone 369 america ayeston Meth 2 Recta 0 Reoge Pe The Kalan Fler wz The State Space Representation of Dynamic Syscm 372 Benaion ofthe Kalman Fier 377 Forecasts Based onthe SatSpce Representation 381 Maximum Liteinod Estination (t Parumters 388 The Sted Stte Kalman itr 389 Smoothing 334 Stil afrence with the Kalman Fier 397 APPENDIS ILA, Prf Chr 1 Pog Estimation by the Generizod Method ‘ot Moments Examplos IS Extensions 424 GAAP and Maxima Liktibood Estimation 27 APPENDIN HLA, Pf Chae 4 Propo iene 0 Rost “Models of Nonstationary Time Sovies 35 Iniroduton 435 ‘Why Linear Tie Trends and Unit Roots? 38 TW Goneralzed Method of Moments 10 15.3. Comparison of Trend Stationary and U Root omc of | i TatRootsn Malaria Tine Seres $47 154, The Metning of Tess for Unit Races 48 181. Asympai Rts for Nonttonary Vetr 155, Other Appenee 0 Tene Tine Stes 47 Ree a ane 182, Vooor Aurepsesion Cnnting Unt Rots 59 ATU, ino Sd in 183, Spoue Repein SP Some APSO A raf Chr rg 2 trie ene | i j 16 Processes wih Dre Tame Trond 57 | canmegraton a 161. AympotiDisration of OF aint | 194. anodason tt | a Spl Tine Trend Mt 8 | 198 athe Nat types af no 162, Type eving fr he Spl Tie Teed | Comgraion 38 sneer | 193, Tenin apes About he Coitaing 163, Amp Inference for an Aurepeine | Vener ot Frocen Around Deeminie Tne ea 4 re ATION 6, rian Sed nin | Benner ‘ Few 24 Ree 4 { BB Fulltnformaion Mains Likeiood | ‘Anas of Camera Sten 0 | 41, Canonical Correlation 630 Gaara Processes wih Unt Roos a5 ea ieee eo 11 teraction 45 | BS Tiponoletesime 8 12, Browne Moun 477 Ba. Olgnte of Ut ato Diference 173. The Functional Centra Limit Theorem 479 174, Agmpoti Popertcsofs FistOnser ‘Autoregression when the True Cociclent Is Unity #86 17.5, Abymprotc Rests for Unit Root Process ‘with Genera Serial Correlation 504 17.6, PhitipPerton Tests for Unit Root 506 1727, Asympoti Properties ofa pth Order ‘Avtorepression andthe Augmented Dickey Puller “ests for Unit Roots 16 17.8. Other Approaches to Testing for Unit Root $31 18, Bayesian Anais and Unit Roos 532 APPENDIX. Ff Cher 1 rps 84 Ben $07 Racer coms : 2a fr Notto Diference? 651 APPENDIS 20. Prof Chg 30 Propo 6 Faun 5S Rees #8 Time Series Models of Heteroskedasiciy O37 Autoregressive Conditional Heteronkedastity (aecH) 9° Extension 66S APPENDIN 2.8. Det of Sted Egtine ringer ener 8 BD Modeling Time Series with Changes in Regime or 221, tnteoduction 677 222, Markov Chains 678 223. Stated Anas of iid, Mixture Datbtons 1224, Time Serie Models of Changes a Regime 600 APPENDIX 22.4 Drain of Sil Fats Jorchagur9 ie Ms Réme 2 AL Trigonometry 704 ‘A Compior Numbers 708 RE Calais 71 AL Mat alga 721 ‘A'S. Probability and Statistics 799 eee 788 ‘B Siaisieal Tables (© Ainswers fo Selected Exerces 767 Greek Lotions and Maton Used inthe Text cals i Come | Preface ‘inate moet my {he uton and hy se shod eas be gt ail, 1 aed Se igre eee he ney ‘Shomer han comers. ec ours mh we Cu certian 3 epost ‘tire ein ann ea maim loi ‘une wiht a exp fc on tee ses ght make eo Soe Brn Chaperone ny. Cape. Sulit a. Ap te alam iy omits ‘en imporan goo tee ony he pu ete he a ‘is Sovomate spc ost! qe ou G) eae and alte sealer aces ply ae nse Th ‘iediy estan wal ei oe re de ye he ny a SS Spt etme tate crak Bean heqhen Behn Cachar, Gs Dane tet Oey ha noe i pe i fo en Ges Ene Roc Stoo Noo Oi Asan Fan Re €, 8 Pipe Rar cope ‘entre i Weapon an oan am ‘Siro ie Thee prv eh Sw SSE than nd Rcd bk rss ph | Time Series Analysis 4 Difference Equations 1 = 60K¥q, = a0, (2) “his ape of 1 th Sag « Difference Eguaion by Recorve Substation 0 ett ta Poyeen ews hua} bonnet ns eee) 48) Sibeae Reet eaed Shaka c methane 2 em Bly De ert am a in hao ae aaa for = 2m sme te a ot Per Sia Pe2 On em 2 Bb + ha tom) ner Se on Fe yt my ela, 8 EF ae LT Th chown high enn ete 1. 9 me rie Matters Now hat {7 xpos inet of hina ye yd tn pn lao Ths mee ey ae ee ow Beg 0a 7 as) snere Sed dhe eng Benen J, culs be dened m2 2 cheperD | tiene Buin baa "anh yap [10] eon eee ioe ing {Beha te a(n) and bce of espe re) Te lee oa Ss eed we sonia its gp ety toe From {1:2} sgn ince ia il aco by an, mang a 2 ama ~ 00% {mosey hing By he ee han 01% tw quarters along 4 M8 ee Dita vote 11 a pricey of ac pace ofytem 0 $= the miler yo ete pone {ean ro Pn fet pa afm of fog 08 SUR sn ea me) ioe an ar sun npn ie Pl See Niciymen [a exo expe ration wa pel (8) sn esc ese concer oven chang in wiley dom. Wal > se om eure. An erst F ‘hy Storie cued © I io cne se sae] | asa) We mh to te nese tt fw th pet va fh 14 Fe der Direc Euasons 3) ‘bh | he a nl snaine eit erin ie out SESE stants re toy, Bee cas, TTT —_— (a) vay FIOURE 13 Pah of pt ae wand ep vate 9) sma or 6 Chapert| ite Eons iRoom segs ep uo oh bas reel te emt te fam de thang nw egress [1115 | 2. pile Order Difference Equations yun 1.2. tap a i ee eu. 0 ore been Gr 2 4 = the leet of he vec a te eae ak oa Treen cc off be ane tang om de = Ica om eta y= 12 phn ire Frenne orp = 4 Fil te foi 4 4m “EA ezalttteestenene nr oanae a, ee Comer th flog snk ti eres gain os bas ELE MBE unin (12, Tso ean Spy te ny Cem Ep Be tdsgeton fi Sua hss Sys he ph eg ce sree yn ie tm isc en ito ans som Aa meh slain nea he sae ya as ‘sector Elo dte = “Land of fo de = we oa ind he va thee ‘ Bore ‘Theva or dt Bee RE Hee, Pregl a his tion po generate [17 ee ee er) 8 depen | Dien Exton EEE Fifdcor te (cement of Pi he 2) semen of Pando. nes ‘cui (139) a bas Oesay and the hy pat ves rt Of ay Nifty on a arr ee) asc inne ose eer eon ey re aus Jindege cy ae sel nthe Sacer deca seen "i nara of ual | val Tr Ca ua Re ee th 1) eet a th i he 3) 1. phone Diet Exons 9 ‘ic mito 0.2.3 ree ee mento F + mip | ‘a ice eben nn a ‘itn we (21. ate ete, rt ume) Net sab ase hj gua 2 cate Yeadon nny ioe ay ep ae ih unr di ye eg or ny sien aor fom 2 gen ie ‘leon Tn yy hs woe pany Foc cxmpl orp = 2h gas te wn to [ #]-Le s]-» farm Bobh- ana bau ‘Tew eves Fre eat ne ten gato ae ths gen by OVER am nas For cal phone ste he demi [221] pdr pl ‘erow tte naa amo (2 He tong tpn a Prpaion 18 Thesis ofthe mae elm pon? ae ‘ten nb BE ak gO EH Coe ae tn ano a ai i FEE st eee oe teh Sn ad 2 10° Chaput | Direc Egan ‘Tent Sain of ph Order Diference Equation See Bie gears s nomip (pp na a snare ie app) mat whe esas Fn te inp digs Tries cone | acfoe ene sai) tau Doo a | Thien uo cna he pumice (3) amet ig iver eniy For eun, oon | 1 wes ene Bo Taka ener fiw 4 “Tegan rect lish ao apt wb et Tee bunt eset F ers More snr, wean shateie Pin im tegen Fat SP De er rem bam A 0d o 1.2, per Dire Eton! ML ‘hee oF Egon 129 writen cep tec ne Pe fe ae rom whic te (1) mat Phe by 2G ae + HB aca oat b ea hea 6 Wh 22m ft eee etal hat ee te 2 Oh the mete Tae 7s jut he panty ‘(1323 mph emo eh soca NGM 2 nt. es arm fem ier Pere ea seats oth haz) tig 1224 in he yi aie wpe et fea amin een if emai SEL Licey Sate td re Tew Teen poe ance ete ast sole Meas fee ‘amy 2 Onur | ence Egat Weal seal eel b lee eee eto nts semmingeiy gen by epein mes) Poe stander sytem p= 1) mle noulshve wwe |.26 sie the sige lin nes 029) Aco 0 (29) theater en by From {1.229 5 saan an 230 23 ex rier [20 abs» yay of moe coated sarc Sopa ft sper st ah oc ‘eth ead ethene sump i'y "Saal gs get oe Sioa 2 alr am kere ‘Shams ae tepecntd st need en of eying spe Sentient aoa. From etn [216 an [.2 ste ena oN ten ean 6 Vara From 1225) me be "ean tiie en | Ere | 1.2 Onder Dierence Equations 4) led oa fet of jn pel) of gute 4 Ne a tj ese ieee ded ent ene opie se Hire a2.) eaten ot th ge be ne oe (ter rein pots i ome fhe gees a age. este ths isthe thy spar comer camp pin ant ats 4gy< then tenon han a2 land (t2 cpl snp Sop tha say cms noe wen Meeen ee nila teas} Forte p= 2 {L2H an [12.15 8 wl ve aot asm b= am=5 =e baa ur gon hart he mtn 0 he nance ephemera A= Rot) + 800) am RevETP coi) = ak The ceoaoe 23cm einen 8 aa Heh, A= Rem] = Rca) + Ht 23 Ashgosy, he compe cnet he > Mee ~ 0) aa ale A= mle) = omy einen pam "Seen (A Nema eee ae 14 Cnr | Dione Egos Grane nn2 oo Eiubectdmee gucticon matic stag pe Stig (1257s 238 0 Sopp he dnome master Fen) +H} + AMS = 9014 9 Leahey ahem epee in may am 1229 9 a aac pi cd el ‘Selma ie: # Foy ot m1. a eee cotton he oes 12. phe Dice Kaos 18) eon in 29) yts (pmo rade eed Whe Syiicmaie fano (.239 tar ne | i 5. Oom { \ 16 chp | Dif septs ight ation et verrm VOTE >2~ 4, ‘Senty wo eaten ake eS 2am ea ‘2 Riecc eb esc at hile wy een Hemet de ee ontns. “hunt el pn, wb eater an iy eri > 204 (8) norbeswsttcine’ 1“ ntgue’ Suey neces ‘te btimesy sai va (i eine toe“ near ‘ar tt oe se nied, cane whe > ~2, can eto bead aise ‘Th ne a ron, be esha 1 ter 4, < = Dor, es Toth ment of ee ys aie cate ems vit ite geo ‘Tegra Solon of a wh-OrderDiference Equation win pete Eigaea Diereee Fa ech En Seema te te by weg the Jordan ecompenion, " Neer aun 2a here ip 7) mati and keh orm ey vos, 18 Caper | Dome Ennion: rr) Pay too ead Sedma oF. 1211] 5 ey 240 aio 1239 ie cco om [241 of mein het ere ofa wees Sgn 2.0) nto 218 01241 chm heen tee in i ree of Ms awe ke ‘TR and Present-Vaue Calelations {Ge nasa al ethan nod, hon Fin 129 ee 12 ih Onder Difco ik ofa eon” of yin tema iit arya, eens opditere te 0 generate eprom 25 abo sthfrmrd ae he fe one roe alo ‘rao eae nw Top at ela ee, ‘Src ercl ten ft pea omar ee a ee sithenec tony een you pnttoen cena eS “hesawers is nr gape ine nse eee Seen naa he ym uli of ces. fo the (1) met oe (px) ann) The tone pane oe ee Sinn ons elon ‘i 1 een of he (pp) atin. Th va a gen by ‘he famine pope Propo 13: heats of ep p) mare Fed 1.2.3} EE teeta te a ee ME = 8 a, eu mon 1 lee ete re ren usted ec coat penn a an Sg oer pas Noa sa a 24] ca aerate tpt hing tet ‘wa og tn of Pen cone a PE aap 20° chee 1 | Dies Equations 28 I [APPENDIN TA. Proof of Chapir 1 Propstons Pratap Tec sd rouse bau en qt he tt abe elo eel re) ‘Seas inant coarse ee ea) al OTA 8 I con eee FY roa | o erase ran at] loos 4 oS ak Ta aks gi oo tea Ary 1A Prof Cpe} Pponns 2 Stet Fine Basis minty wept my Baa hoa me fF cee #f. oe SRNOE GPM te nt ee p= 2 ae eee a ME === hid Ppt ChaperTReerencen SEER Fh Det tn ats 24 Chape1| DiemeeEqaton, Lag Operators 2 irodicon teeta at heheh ay oc ices anabopabe soon pr ay ree = ne ne end Bnew aera Seah he a ra oa ie en hh ep 2 mi user iprant ineie Gins nitpo. et’ | ad met oad 4 i lt nw tne ete 1 cep 4 ip eee sch : ej) aa a ons se sieme ee Ape grr inal tg eet # (bis term of te coreg Smo eum fe ser opera th mito psa rept: n= Be pal ‘Aton i siten ext bane wy asin ition cation LIT ey hl he scene of mst ‘Soma io gnc ae of) nine" NY SE ‘Nate cane ome ere pera se aioe ea Sov the mui o aso prs aso dest cnet ‘mason or aon, ty obey a esa espe Bo cae ie uly aa sneer and eh ooo fe TiyBindaastbeoame + i ‘ip ch een oe gees gh == a en pen ‘Ney wl pent eg ir, Sep at we st wh Ane ecg webs ok on aanes | ee Me “an det sping ea opener ed ‘Sted te ymcr et emer Consider the result of ee a) ts) Peete asa penis Mf py main ope sd ete se Bm Bi ‘he reat wl be nyt sane if ha ‘te he npn ge fo hai Bi 26 chapter? | ag Operon * | | | | | | Gundam wm has Rk Ug, +) = ba bm she Bh ten peter aloe ua eine ra Satin fe than operon (2 ry" in eer rons acne mtn sae ‘For emerson dae yim Btn Yee GL BE = es (EME thy = kk =k + ab T= Bee MILs Ata (25 An cx sch (a. + 1 ee palm ne a cer tesa ama tpi pam ee) na pst mmr, heres pom ala ep "1 e ‘eres pnd ose te ps ote ta ind a sent of coc, ‘hen he a oper spd ps he ame ere conan; Gb + Bt + Wee eps ale pis ZX. Fast Order Difforonce Equations 2.2, Fost Onder Difference Equeions 27 uno 22.1] cabe este sing gosto Ys yes Aly. “Ts ution om. ce ep wing td as, 223 21 owing os OF eE wD eens 2 6604 OU OL 4-4 yaaa — ot, = RULE BE os ayy, BAM spn out oan oper oe he ef ie (224 ean (4 6b 2 6 w= + aI $4) ee ee eye pet ae nena Ce ee ahh GES a oe toe ees Siting [225 mt 224 yl WEE OBL EE GD 8 OL, BBM ring (225 xg ing 21] ren 1 Oy A dey tg tg 8 ee ee ee ee a sperter 223] peor nay te nee one bn a ‘Sc emoyed pet hope ose (LS) Aimee eet me te he pert 23] ome tp Nese 3 J (6 6 OLE BL HM ~ ola 8 Maa (64 4 02 + 6 SKI ~ by Ais om 69 Ate ten 9" fT and, ba Ete munis aoe #5 ‘itbenme neem hemes WF 6 FOES PD ee eLME§ ate, rein A segs ii 1 bebe ee ener ath bier orate ‘Tha, bef and ahen econ sping nope aad ere ee eee 28 chor | Lap pony (robs img = 6b OL OL so 6 Ly. Bast Tapa (=) "athe ropes 6 teeters Sem, gn pot 2] wl be cages. Tiedt [1 awe rent rest ned quan oF sey ss eS te ae = Neamt drt Oat Oat 7 stole ied sh ne woe mates comeing owed [eS5feeatoore asses phen fica Cine igs em Nenad mee dies + Mh re tr erin met i ESiifecomtene ak 2 may (2200) a (ty = = ade (t= Abt ~ 8) ta 2.20) coms [221 fy ti “ily veg Woe ee Peer ‘Thar —iss bondage hin ren 2210h ‘inde es, i220) Th tes pret ts fod ‘Lining opere (26) oteche mene i aL} mame alk ‘Since Salat une oper sing sur y= 1 ha maps unde seen in Bed ete (ans | "WU intact gL) chen’ {ib dc Sn 2S EE. Second-Order Differonce Equations Wm Oia # ee psn 25, Soni Ore Dire Egan: 29, = b= 40% =, esa ‘Thee et [2.2 cons sector obo inthe i operate 1 supose ea th ftom ht Hs ume ah at (LBL = (= NLA) eA Le, “Tait te operation 21.5) Gia als for am 6 ne ck eter ae on be pets For ramp hy = Oban = ~ 008, shen we shone y= 04 and oe (0a + nou == naExe 02. psa Isc enmgh ett the aso aor fo his ee anit hw yt oan penn eh and ‘itera opt one rae 23 3} see sh Selb it a ewe bu rece ee (= 4 ~ 629 2 ast — ha p39) ‘his eget sin replaces hea grate Ln 2.3) wi eas What ‘Sivepom a dome sof Wa. wean tow tn or Sees ae Stic of{233} squat tie meer cies aes ‘Ren he tie of 3. oat be sr weal a tne we no ak SSE Wears sere semene ht etme mm ne ‘Wy shoal ath he igh of [2.35 ois = "wis = ‘eed tar ef a pe "he tion’ mat psa he sane mame se = at seme acm ar tout be we (be 40) =, ea4 ‘He pet he quater ean eas Seti «= 0 ete ei (2.8 20, ie = apt sete ig eof f235} tose. Toe “ ape ps9, wo ps) 3 Chg? | ap Opes . euighenanercl example 2.34}6 WG & = and = 00) seen in (23.4 | “hon age aus ade mp cont ad i resell not Sb nd ing th a sab ple ‘Soll poy, ae = Rico + fama = Re += Reade ~ es teh eet ay eae ay BL past pam Siting 2.3.12 (23.1) pes = A 4) = AIA — 29. pas ‘Aa, (2.3.13 ut i or wee andi ste me nar uct eee 3 ov “Th ycah te vis yan to he ani 2.39. ‘Soi he of 3 cay i he un ma eal i fam Forth ep). nn sate 1 oo. VEO ATM y= TRO | 25, Sant Orr Dee Eguions 31 dyn ofthe connec ei 2211] were summa hy *-([* $4} t oa a=, gt he sme oan yn [23.14 Th nig i ai ne Pepin 2.15 Faring te pai (~~ 2) abt) = "ALK ast) ay 6 seein fing he es of te ma in 8.819, ‘rma Fat an whe ps had hh ‘ren by gant ihn sot ts rm leis rs ats Schnstactrarmecomnnnecane its Sen ans eer Wena) paw) ‘ede ah he papel fm whe ge O42 82) = ks ruta rte 289 ec a eta da toate sesh ete Shaye noe Spore amtananaittasaccrares ma ben seth hea yan ie aed a acy tet bate = ane eae ConuEeaenireer snares ‘We wl etd or hansen, Wit [3] te om (= 4010 ashy, = open hse by (= LA > a HO MLM Mtn say 32 apr? | Lag enter, . Folin Saget (7p. 189, tu 4 nm wt longo = aera sy ~ a | 2 pik Onder Difference Equations ‘Woe 411 meme faerie n= aor te oestrone ae of [242] 0 (b= 8 EN NOK AE) KLE B83) Asin beeen tn, ip thie fh gptin by "Pad r= Bar UP aw ia Tha = =a ley. stig fer = 1.2, pes th i of 2.4 0 srr Tate eh, the me at he saree 2c ate wk ag) wane” pas sei cust tte maa ens aon 33 Propain 3.2: ang park pani ne op, (1 6L= Ol gy sesame can fag th om of mai fe i 2.3. rae isa of eh st te pmo he Shale eB by eto en AT Al = einem ti ashe 48) Voge gee dae =o bee Fee EO Maen peming be aera sits (DRE (=a = FM AL MAB aay BRA] Provided uth he penalise ae in. he oe ne a i i i oS on TTT TR “Ta twa betel bymilpbag ook aia ski ADO Pe g(t = sKt = Aa) eth ant a al Fogel aan aah nun f2.49] 19 ll lof Sie ap = Dod robe fiche jute un (809) rp Ps cia ne 48 SM One? | Lx Open 4 iin as sen [2.49 mt lal To esate at F620 = NAD °° RRR a ox [AS el c= 5A ie pan ean ove at tow et es 225n pe, Ral om “Tocoesude [47 ene wen Tao" aot Peed yl oR ABE Den ett eas fos Hoke oe eA eaL Ee betters ea Heal eet 2 FeAl + see (cn. ge yeti [2.440 ou 2-41). Aen, ‘BE Tpoi mii ee vedo (3 sok : vol of tig te lg opr mpescben, Wie 23] perrrr ene renes past reheat ea va piston poe past ste 2 et att pm oe tin Woreracenuenes | 24. phn ieee Fa oie a te dani [24.14 Te eet fw 08 he pee ‘heels any bo = Los ‘ii 0 pal a me WO) BE Bo 8 pes tt mr 41h ml ae = = 8 aim Pt. ap) = a Fae ope Bam Bet comping 2.47 wh 247 ape hat 0 = (0-00 = Ab = 4,0" an tio 43} sean ta M0) == WE aL = rr M3) == be oat at WO) == 88-88 oor. aay Seating (242 no (241) eva hat aan ‘epodug te dim in Pepuos 3. Api te oun muir oes hcp cw ofa ein ‘T3Talal Conditions and’ Unbounded Sequences We btert bales te iy tae BST Pedant psa} ete amd es3) 96 Char? | tag Opes 2 -c sgt sith ye ee ore age esta thee fail somites dtr mpl ang i eee Re mas Teles usin 2.5.4 ac sn te meson sta net ns esata ae ak salle ty mr etme hp ‘ote the pri aren del (saa tn ac ng RE kr agin sn ‘Map 58] 9 70 ane | Payton =D, ess aiiitiwaby poe is dant, = =Ds tcf on ‘na pes / wm se Pose DE= OID ADs fase esau Dp Ds. and he a oP eee, ten 2 (Se al i fe Di we ten hw ‘fs mgs mn a at mt es pa foP Pots as Sogo tn se est Thee 255) becomes Paden Kee ae psa ks reste acon recy eu [2.80 ret scot wok B34 Supe ht nd ee cnede B Imo hing od i in cmt iden ‘eum Fo [ha leone waht pig ty (2 Eide tha yh silcontne ores te;ean iene gorda iam he aed el gan od [254 ml eae "Ta semi as sce sa! nf sete el comes hey a Force SiS te oles pa eb e Wier trate esa) ‘The te ny sue fr comet with oh [22.9] wold isa fase Mon © Br pss sen 25:2 “bP tsi a SET ay soe fptspoo [rt | Ite eqns (Pty (259 ew cdr 1D ease» bane “Tost sits abounded eee, then ncn tke eo (25 13) psig stichisreteeo ste“ eet ont 2 forte gee SieaNimevanng ance ose 25 loans [38 ec ‘Saran! nh penne ees wale ee . ee pt rr a es siberian [25] pes slewing ee ays woe et ia i eet ‘herr. In Secon 2.2 he recursive satan aca at 2 PS} ne rene ty mrs] nem agape oT WO ents 0, sis S54 mating bo ser of 55 by he atoning opera: WrGemrde eee sie HO were than any, wold ema soi mio (288) DO on area enced eres nscale en fs em ded ee hee > Od \scomplted wing be vee of eng per 2H tend 2.4] 0 meine asf Note Linde be ‘dined ate Ment eperte: 4 chaper2 | Lag Opes ow ier bing 8:8 paar g erie et eenseny : xis nina sin) i We @e me ase nie net ede mets voi o ty sim Sargeas 957 lice wt se he un “bana wn <1 by stated Nasu We see ee eee BsU sn 1 sh tego ora when > ty mii by sam SU eS [= Oh (1 Bt) = 1 (eins een) nt when ap bod syns flo 25, Il Cons nd Undo Serene omen pce if union 479 pi, We {25 oferta endotvome ceca tnt scum ea ‘hater FRefeences ‘Si, Moma 6 Maruti Tey, eR: Ae Pe gee h Lad E M 2 Chaper2| ag Operon : Stationary ARMA Processes teste te AMA pte i pew | Beceem eg te means cs Seema iris ane iat ceninis com tenes sacri Soi fect ites action rsa ae Si, Eipectations, Stationary, and Ergodic Fapetinions and Stochste Proceses rte att Fer cumple coi allan of nde en tte Chaat os but “Tha etrd a ep of eT ton Gti hie mie poo, eis cened el spc Fc eso Whe bes ented dies atte Fea the nie segs = Nou ewe ge eo om feostng pune cee or We weal en sent moo a pre alsin eran sae a ‘fad vale hw sme dey noted fh call he anand oY or ample Cs vss phe aye se)-[° ation ws 01 =m on $9 boa For emp ecules cai Gn we nee basi Be) en te = ba Bee baal 09 = bua en es cin 0d md eo) = Seo Sleatominctome sie tnt eos ‘het he dom st (sl) iy ded meee nr= [tv mbinady Bam 4 chaper 3 | sony ARMA Prec Z Far example forte procs (7). te ain Tn EO BP Ble) = Hiaosovarance Us Ts rt occ ony oo ne or yeaa! i ch ein tig oe pr re SELLS ich an Fo » ine bericht by Ba 2a ‘ ani 1) = = aK oh “ha. edd covaans fh som age a ibe tm aan’ Roce thr tte Ot ‘nih act analy ean ves pun ee eee na Rutt She trees co ee terme ‘Sianoariy ee te mea sr he coast ete he tie psceinr sade mates) & wey ne BUY, hw) = 9 fea an 21. Exp, Story, an Enotey 8 Forex he rot i [5] vase tone matte, {tt Sie woman (SS By couse ses [3.1.7 90 cuanto, hace men 2 ete ne ‘ate ne mgt hme sen, or tame cecan ice miss | WE AYA) = Ey HRY 8) Y= 1s Buretringagan oe dese 112. hs tnexreinla eon 0, = ak, eu yer, ralliepn eu Att op ht tsar prose sido ey ‘inom Haye fe ok data (Fe ‘eens ont ake tris es Se scod momcas ent masse etn at ‘tice ae teat in [3.13] sd [3.1 1) oa pedo une, oe Te ‘omen wi ft epee tee Howe oe aes Pec il elma ot a sw ee Fae eye memes nh TA proces (YS ld 0B Gasn the pin deny Boson tan Baye ona) ‘edd parameters mln Gus ran compen) 9 ac ‘Tgatcy ene sewed exon of tines em ene verge such [29 nd Bi Tae cette may se ote. ee ‘Seth onetan mies rea of i mt peck ‘ater ctl i. 9, Pow tae Senate ne eo Siemens tee ne 6 Opes | Stony ARMA Paces : eerie gear enn ome tee sete cat erie me (eames poy oun pe ent sy obec en Care 7 0 Sites Bug ‘He 4 zat fore mean, : wer, 0%, ‘Ghat tnespsles vrs Gas ses co GM cmick tment) fl momen eyonohen Fo mpc Cyn ie cp 9 sane a ocd fom 3 NEC) See, Yen ay pa = FU + Ela) da = Blt ap aa! “The re of 1.16 soa sty, em a he et ‘Data Sia teakiy tre man bier ad et eae {eee show ements have ten ef and voce Hie) #0 pau) fia = p22) Whe Nae Fiend 0 eed pan ‘proses asiying 3.2. hgh 8.23) i ot whe me pres na tent ec} es la sn ident or #2 pag oc tha (324 imps [23 tu [523] ds at ingly (8.246 A gre ‘Suing 8.2 hss 24 cle annonce a3. hou fl sg EeMO.e5. 2 3. Moving Average Process “Tie Fis-Order Moving Average Process Le a te white ie 2 I oh 8.2.3 and comer be pres Wen tat tren Baa) ee amend ay cnt Thine sessed sre nn ‘Rest pres, dented Ma). Totem mont ag ome om hn MC Rome on tweed n,n a eg oe he expect ¥en by EOD = Boe 6 teas) =a + Ele) +O = (882) ewe te sym rhe cnt [3% 9 ition oh FO, w= Bl ta re oer TOs ee fa BO = WKY = 9 = BG + BK FFs PW Beta + Bras) BM ger arin ea: FO, m= Beas Me =8 Gey h (35) fhe nnd cts tt eto et ‘umrsabo ace decnee Peon cay Spi. ws Ths a Gai site oe, te te MA) re. roe ($8 Chee | Sunes ARMA Pres arn 9) eT) srg a aye Cat Shar my. ae “fram [3.93) ad [3.44 the fn aor fe a8 AAC po por (0) shows te score fn for we nose we panel () ee ‘rear olor th eta age te of cy te ond (Shawed by sae cage conta ngue aio) egutestorionaans mai capt wb ond yo sal lc pill yr ecto te ote Fig dese bre 20 8 ohh ara 0 Foran sc of bene renee | ~ we arr or se : a + — 7 , Ma | Mae ¥ (AR: Y= ONY (0 ARO Y= AO + Tie qi-Onder Moving Average Process Aho moving srg procs, dts MA cmc by Fee One Bes tt Moe BB) see fe sc 2 owe 23] 60, (pcos yr ‘Mase Theron 38} apa gen ys BUND = EH) + 62) Ble) RE dm “Te vt of MAL) pee Wen BOY =a Be 4 Be {50 chapur3 | Sony ARMA Pree : [4GURE 2 The St sin) MAC) ps gonieoe Wat Rete rene ta (hee ee Be Bel ie Blears t he wed 8 Oi Ato Rte bau pe [Pte eB ee Mabe ee 2 oi wpa.) Foren a8 MAG) oe, | web he! | wali date! pe tede | Foc ay wae of te MAL) ples scotia suatonan Cn [1 sand sor Gas he JE) pos ‘itera mess To tection fst a Bomdtout Howe Tie Tinie Onder Moving Average Process | rows San 1. Mong Avge Paces St i Cnet oe ht rt a Be Sorte ket birt wage BL “Ts ol enced a an MA) poses. To pe pao ety ‘Mec ust cnet mvog es (open hot apc hows thee gre in (83.3) ses ns Seed eats pe fod Suen pas es en cane wk wth hy one codon han [3.4 Swi os A seen fms ag [3.14] il be gare smal ‘ttre sequnr sug 1] ny sm Ae ‘insti pls sue summay, ute comets Se a atthe ‘femmply of muteasnmate nei a ay sey me Gente arene) "ie men nd tna fa» MA) proces witha su ate nf Be eed toms ie erp ha aaa ce Fa Bart Saat a Hoo Fel BS Fett oP Im 12 a eos seine we EO Bo) = bp + Bobs + Hoste 8 os 40 Meee an Mae green witli tics ely pari pam esgic nig.) sent mane Apots See {2 Cheer 3 | Senay ARMA Prosser Ta, Aavoregraie Proves “ 4 “Fie Forder Auaregesive Proce A fs ede aes, ested AA) i he owing trace yee oh pan ‘Apia. eich ae ue tain 2 gh 2) Nai tat (32H se er le eee Se sii sca ution ht iil ihe comemnne oh oe eel ey cro rane ‘ve he ‘Enorany penn Ysa) pretest ‘Mincatea nao Yate nese r nade sere deerme yt ea ba Totaled he “ns ene at a A) poe [15] nth en 8? When HRT cto (313 ste Sui Sy ich xe = 8) roid at <1 ha emai of cin i alt a sina ue tn sie pcan nero he me ho nce 43, ee at seta he men sao A) pos | pret. abl = 20% ey ens et oat 20, — 1%) 8) | Pele beara 8 SeDtbot tert Payst Tt Bad anes | 234 sure PnP ‘Mtns om B44] ané 145] a te tet fn, pag ei a9 a. he yt en oe “he mae foray AR) ere eed aoe by ewig 8 sua eshte one ee sh tine canines al cn he moet ey om he TOSS gem pee lt Rule pesto often fe EO = e+ 6) + Bled pas acuminate proce ernest. 09 = £0.) =m past Sabin 48 te 3.47, pres aso pret 9) par reroute tn et 43) ‘Ne tha rman 349] ey sneering sen nee loafer cme and ost or ti vce ae Seman rine a gin ast Sle Ya ee pea snp A ea ora [949] tad wen f= Te ee Slatin FR antsy. gn oh “Tein he send omen of i aabpns mam, (543) 19 rennet} Yeah 8) oar +5 Om = Wns = ew pao) ow re bt si of 49] and ke eet: BOY, ai = EDN P+ 248%» ~ aed + ECR. (AIH) 54 chaps | Santry ARMA roe eros | 4 IOURE 3 Reatzatons ofan ARG) rom, Y= 8-1 # fr erie em [4.2] ~ 4) aera toto Choy B= Gant Bes eng (a= wh Tas heme crn the ig a of sees E15 ~ ne} = 0 asl EO w= BUF = = 9 pay Song 415) 9.41] 41 edn tore nee ott 6, repeig 44) ‘Si we oa aie (3.410). ~ wan ae expects FIO = wih 0 eet, ~ wer basa PN Heda oh Bat he tm (=p) wil ea tft tnt ‘sicher =, ame hr Toy fo i ba hse "gid n (2438) oe Noe mcr at cape ag ‘AE tema th de FY = 1 = Mh = 9 Ths rj, [8414 eames nao Equtin [8415] kesh frm ise dite, Bm Or +m sate ohchindrste ero sma ep ioees Ui) Te pat me 1) wey une, rca aoe ‘tence eqn (4 sa ses ass i eae 2.46), We mw ee uy he ipo anon a Sees cin et Ap roe ce ‘nave fey, ad so equa em ‘The Second-Order Autoreresive Process A wconb oie aaregesion, det ARG) ses eer eee pay 56 Cher | sony ARMA Proce vere past The erence euntin [1] sal po ha i (2-82) =0 pa eo te ut ci, Whe hi cntin id the AR pose Bienen KO) LAL = EAL EE OE ee pL ean [2 he ae of a be found om the (1 emt faa Fed the pwc sm eget (28 Whee te edi tne omnes ripen [129 on Ecc athe ot ae dna sete ont Muiphng ah ies (3.17 6) anes Y= abe + Hh aan estrada Hie 0 99 an ay ited ove the ci neh 3. 05S (3.420) mma HAs) pce mene yh cn Fe = 6 aa BUND = + EC) = E09 + Be, ‘orn 42 Pe di momen, we 24 Yom wh 8-9 Oost Oe Om 60m BO we aM Malin tse 424 (,,~p) aaking eapetnspoces We Bien yee Me 1 bass Stony proved th and yh wah aga ep ot Pre = When ane wtih npr po ut hve he pri in ta ‘Stor of cn fl tn he apse Boe he ea, yes damp io ht, : “The tmeorans found Sg tm sie 3425 A= bi taps OF = 1, as pene sing) = poses, 8s On, p= it~ 8. ex Poe pam ound y mating oth aes ob = md tang een EY, = WP = Ey WKY — n+ EOE 18, + Eh, ~ pereereres pas ‘The at rm (a .429] ae tom nt a FleMY, = 3) © Eos 1 * 8a 1 #4 ‘anon [429 cb wen w= bam + bom +o baa Seng 3.427 an 425] (40 nes . 88 aly rot [tat ob = aye ay aMT oF a “Te pi. Order Aworgressive Process A poder tegen, dents AR). sis Meee Ott bles Oo OMe Tae goo gare bam le code he ni ele etary ht & cre: oa repesenan em Nene abe bas) an 8 chaper 3 | Senay ARMA Proce: uy oom ] on i peal ae pas sing 430 cquton 2.431) ca ne ten We BM) eA ass Artem ty mai bi Fos mand, B52 Ba tbe HN sag Cate aes cee Ge ing the tht 9 = the ea gto i [6] j= pean be mid rye, ak acm ute oa ee inst he Ha ep a be ye a ‘lone of ef so ey! cy = DP tae irae (pp) made uso and mses Kroner Dosing (40 by roe he Yue Water puns Derrere eee ee eee Te) stn re ee} fo a ea tev So ea pass 35. Mined Autoregressive Moving Average Processes ‘An ARAL presi bth eet oti t bint egret Yolen Har Meor 8 (gt = a= ate, sal Sete aks aL 8 ane (pacer) sal ewe te acc Bae 2c be aided (= iL = BL? Sat itwaee ws ote, gyn HEME Hautes en MO Sara 8 Zuice we yada a. ‘Thos soar of a ARMA proces depends ety on te styrene raat 9) one mong met pram TeSttncomesiato wit te ARMA proses. nerf deviations Y= we Ohos= A) 8 Bs 9d Aap Bay Beer He Mag ‘Aocorarases funy muiping bt sis 5 by (Y,~ 4 taking apc. Fry >, th relng egutos ake he om eee eee 2l'taioe the pooner siteeee quien’ goed y ihe auresine ot that [8.1 st ed r=, oi solo eee ii AR os eon compened ston at rote cosy Ap) per er ict reese om, he toons lb gen y We hal tae Pha B50) rea ‘os she sine fo he auntie foro AR) pee (438 iepricaoe ramon jeer oo [Ak esse parame 3) wil ace oe he mes Oa eee erie s ‘Const for ecm pew one pce Yee psa Sep bt sie [857 ae mped by ~ a = pb, = ~ pe say ‘Gent 1357) va epson, en a [358] ay ae ‘ho (56) mate dsc va ARQ 1 proces ite 8 = pa dr sp stor wed tas pratt eSive nye oe {nisi anctet edt cquny eh seston print oe ‘olstmue te preter p53) y mmm Huo. More hes ‘icmp os nen ach wi aly es ‘Seo doa mig Severe model sae we ae (60 Chae 3 | Sonny ARMA Prose ae hs amet Pent we abe PSM enue at =a a ep te urgrene spree (I ge ga ay loy and the moving ope otte (6 B+ ats <=" aL) hve ty usin ome Bk Sr sae! thn ua eo 8 San fe ed OG: a (ate opto wy 0) yg, 5:01 SCL Se Dos eaten, PSH) (be ant ee apa 2 NOK =a) A AME hd AD | Combe gee entry Fa Mt = 9th = gabe = a) sony Atty fog") pecan 10) 1 ‘Te The Awocovariance Generating Function ‘She con cle th sonra cay ana sia 3, a sre = V=T a th nn age ht ake wi heel ae cat he popuon spec of ¥ The poplon pec ail eds rane Cenrg acon 6h enter ean i) nee le “Senenmpe ef essing nmoovinnrig ton, one esi penne Foner Sfp) arn sa) = WHEY (+ e+ orale tet Sw te) = 0 + ay #9, peat The oem of expesion 42 ups hat for he MAG poe, Panerreeraet restertoa te aoc gneraig uno mgt be eee os Bia) ogee ato po ileal ears eon ag"9. “Ts comer canbe ee cing out be itn (63 nd ‘Sig ems ype at (oh agedet eo rman Oboe BEER me EFM eB HRB Feet ea tage aa ony Sasol man oye Ne RB eR Q ADEN HIDE pata 6 at [2.20 2mm he cece 08 (eS ne ephutacrtae, Smt ning) een the MA) ae _—_ i Stes wen Foe empl, stony A) pesca be wien ~ ae (1 8b)" wh te fm of 365] 4) = UL 8). The trie Srsrag eo form) se en here be nes oe w= aa 90) 62 crap | Snonay ARMA Proce : ‘Tov hs i dey, exp ot etm a 895 TRO ae eee XO Reet BEI Horde, OH mG we) = wie — 8 ‘asin te ph ators eae losin ut 4). The auomanatepsring nn soy ARI) oe wos paneer) we Flex Sean et a do een pr oy by feveingtencioe Foren ppc ha eile ee ned omar) poe Perens sau) Sy lad ape Siting (631i [8.4.12 he NC ENI Obie [ONE AE ell ML Les EL, (ean = 4th socom geen ncn of dt X cmb acted ae apis foie) Sos OME Hae Hes. fans) 1s te toe, wee hep he puja (62 © 4) 8 feud om ofa ew 80h (oe me 2) =~ aU + oa. | lami ce 3.614 ewer exe) aX ht Fo 2 +6) peu} 20-2 a eet 4H 48 ct lf of wiih 48 The Antoine Gresing Fusion 6 {1-1 Yes mpg atoning cen Gages = " ince edt eras, Spee hth rie dt sees ‘wise ESS house Let td ned ee OF A= mY, pos Ay Swrex Stites ts Xe en pera A= He © MMe ae = Me and) SN mod pt + He, WL) The ence tsi ted ‘he sosatan-intan nino om moa ct £0» HOWE = REDEEM) = MIME Hpe. BIT) Arig he er ta een ning aon Oy ae ets mig taco 7 Taveras Twenty forte MAG) Process Conia MAL) pase, rma tobe, baa sty, $07 (Soeli BEAR ohare Sha Ean S [Saale 3 Enate Sui mar Saf wien (64 Chap 3 | Siinay ARMA Prec + wd ht | © Js if 9.7] be mi (1 9 (ee PR mae RAI ih ld ened yn AAC) epee If moving nee ee eee ttt 5 [Rpeiaton ab on Fa 4) pce ei sys ein eee whew rf he pes Rc te Ma) pone hs ca ak pie) id orn eee eit a 110-9 Ciuliet ydon ade + nd (5) Sapo ate ame of 17 (2, a et dn 719 ‘oh mcg 71 0975 nae imi pees eh at sm (octet eran meine ant os ibe catinns or ariel ance vad Sear er nate crete an Sisters benan mes eps ear Ravan secon 27 try mae cling sei dened sents AO, : Te Ry HOR a) Os ae, BAM ere # = (dhe moving mea: prseter acca wih te nee ING ese srs th se omen [7 ote a ee In he poe cnc can pe soc tre) Fiore cl sn oe ns en {iit retient n= he hh aren) meq to ry 8 Rosth38 ai Bi snc cn or hos Be) = LE ME p29} Sepang [7 5 579 sie) = 110 EM EI Ey tn ne we we oe pce lpn tosh sof [2.78] (= a), pererecs iss pce val nee A) reeset af ts ht were atily Perdomo 7S eves haa fr Thi eh rg tito “44, Pecortton of 9 Pst Def Symer arte 4 Tose bw te wg rtm be i, oie yy Oy oe a-| a, a; a a wa en ego Toston mg rence tat eo ] moe i} rove tat Dy 0. Thi me nh pee Selesiatignceietin oboe“ 00" BSmetnopae ‘Wien remedy Eon pis ye ei 7 esa Bead] ee, % Ha myn, = Oy a A, even lest rete ane ny wit cnc of Te ppnow nb w my he nd nS yy se tt he Snbaboua ths ton te aro ben oor cep ee 88 chee # | Fore So ALE ee sim pe 631 Sime "is pemaied ye a int were 3] Sena ech aa wy | itt tye pn. Posed soap nh he sox Te BRI R= wan TF ou-emnms 0 ° er) Steed sina et Seigenatslaisap eaee Daman haa Ay REPS EMS BaD 44, Parnes eine Sram Mas #8 11 (479 prema by A nd prmaped by he et i a now ba Rel hat een teen ihn Sito af by cern nant td aban he om ee gee ae Stony ae ae uy ng ra he eso. aya 20 8 auow 01s a, sua At 00 ‘nt iis ey ig (43 9.0 oon Be ty reef o Agia 1 oo mentees reat et ime Amat mag Ls aus M5 abil ait “oa te oa oA it een ve hee epta he optog mt he mai a “rem wc hey ae me Forex A = ‘ane ce eg yl ten, or he am a 1.4.1) oer ang wh og he ria ite ugar acento Tne ADA’ 22% 2} ei ag 1] [0 a, By contr fhe data dow ae A} proce hen, ray ows then he ane of he ena edb appennate wuuped fiers) trees ner to, thenarany] © hoe fe tween = 0 Fab! 9a he Us] sata he he etme wil clad wih fo 72 pater inte ecm fay tect samp te hap eo es | Fariat Auwocortaion | Poecincl Ponkewecatcamcseqaie to HAP =) ray Ba a ‘Sotcnsen T+ neon yp he pte cpa esc hy coma ey woe genet Wy AGG os wi 9 = 8 ir te te pti es ice ee 2 dente he OLS egreon ea he aa evel Ie'hgo esate sel enn ‘het es Spe 448. Wats Drcomporion ond te Boden Moding Plsophy AML Mere dt esa geet yan AR) pros hen a (Peri emmy inept ft] Example 4.1 ‘Were the Bor Sein poche sca yay ata (nS nl NF fy 0 fogs oh Tact dat) mere come {2 lg ehner (7) in f83} Fo! a) of Fre 42 ote se Sacha lan, eel a he Fone ey ae edo ih asc el ee, eet a pt tae pi he ns veel hid nA procs rp os a (0 Samp etrettns eee (9 Semple prt tenet ‘cone i envy cece 112 chp | Forcing th np gemc es of 4 poe ‘seg. at ct wate AT hgh Hon, a etm mp Rep nero [NPPENDIN@.A, Paral Between O1S Regroion (tnd Linear Projection Pian eos ‘it pcre sop ann Saco a, ih ap Sanme-n- 18s wan | sti pe pl td ma got Phere nd ME Wr dk Te | f ‘isi anal te sone pb cig Bw 8 we 1.19 Ta Sect reste on eae Soca ich oan ese LA 0 1S O00 tea Serer cL asm es eee A PER se elo Enomoto ae ieee oa a ot mun «[ STREETS EN Sen, it pn x79 = vat + E07 was oe lie sor was pee mene OF ribo] [be] nan ea Maa eae ey «-(fi] eed [RPRENDIN SR, ger Fecrtaton ‘ofthe Covariance Mar for an MS) Process denen phy Meehee Lees: Paemmnegere “ Gaeta ee eter ea eee eon AE Chaperone: tg, Re, one Res Wo ne Seg ae en 94 Te Sees nr Fat ot Scum 0 Mere ye Bo: Acker Pr ‘Rina a aa a he to San Tine Se. ‘pute i ih. M6 caper 4 | Forcening mS Maximum Likelihood Estimation TTarodiction FON Ment tes ESL e003 |e toe waa Bee etn ate hp mn 79 ‘ainda ETT hea eee fects te Frpunios ontario expo next wa ota taconite i fat 96 Gyno ty Oyster tent he vec op farmers Span we hn Sd ing tte Pinch Te pra i oot pay ey FeterentOn ron 940 ws) ee Sheened th, nero TS sing a atin ei te n= tid Me) baal Attu he soto ge sites a ah oil te thesia eon | (au lad Ss i petted Spy ght uu se eat on {Sting formar pemie rem 52, The Likeliiood Function for @ Gaussian ARI) Process ‘Fring the Likelihood Function ‘AGuesne AR() roses kes te orm Ynet ete sa) ih No arin, ever open ice "Corte rota Gao of te abet ie an, From equ] sod [es a stom ore wth ee yp = w= etl 8) ty, ~ wf =~ 8. Gen he Goin. he ey fe Sk Behn = f0668.0 ee ee eee secrete yee eyen 231 ‘Seerminsne conan Fo hiss, [53 ves Van he cota (e+ 49) inte No vate Me, 2) =) Me + 490-0, fui 28] psa ime “The se ey eb tn je pd 524) a 523: Fron 901 * fbr Oe Sse: drt fe i et i ee 0 8 iar s gt) Irriobte n= Bnbdedo9i) Slob 9 8x8 8 vac a tn Joa fa eal on te peng = Theis agony Fron FM “hm tr ieee LID Cheower5 | Mextenmn Ltethoad Ealmation (5231 Paveranlte dens 148) Bi bo Mar nw naa ane) B28) heed of te sme empl a he ake Srarcritn ten 980) =f080F fin bre ®h 183 ‘Teton Fann dase) cane ound king pf S37 20) wef, (92m + Seen dln (S28 Sebetunny 523 5.25) no [28s og eto oo san otsige Toms Cassa Ai) poses cee (ime a8 _ Fa Aemaive Expression forthe Likethood Function 2 diet dspgn oth lo =r napnnieg - § ‘a Gassion At) poem some sl Coa te fal ot oe ‘Thc snl e viwed angen om Zanes Gash tuo. Th mes oth T=) st pero) a | Teall: cat sheer is 120 be en tee che 1 esr he ie 2 Te tine ‘covariance matrix of ¥ i given by pre wee w= bay 52. The Liethaod Func for # Gneian AR() Poses UND ( 120 cope | an Leon Estima =A ake) EO we 2 [prssocoraan form A) pst © pee IY, hn, = a) = bit = 4 (201 ews, [S22 be writen aso, 128) oe ee eee S68 oeL sg ining hoi snp sige de om 2 Ni) dts, sesamin at on ma om a re (50) = 2a) IO eal ly = HRY = we (82) ‘seh eg aood| 12) = (72) oe) + Ho ~ y= WY — (827 ident, (627d 29] map ee on 5) Tow neh dee MEP oo 0 0 Bert | h c#t 8 8) am ister tow a bi 219 9 int pin oe ain VIER OP OVER 8 ‘sping tm (2.15) 0 suorug 1.2.20 10) = (Tage) sur» (mr tes ‘| merle | | SE | oo a “otdly ad szady V=Fu-9 | orem an | oe *| low =r ‘ Poms ot - o eee “Thee em in {5225} cm the ren Wy webu — 9 = Lass eee eee! + weet Son-¢ "remem [5220 ity og = Hage * Flog + eg (7) op a all tere been mae funn [A (449) an he Ma “rata Rein (Append Ajeet hts Mec ss Ut an Irigaray he pra he erm ly he ipl ‘logins VTE Dh 2 es usa tees anf Gnasion AR) Pes 1 Erin rigs Pra a9 ‘og 7a by wing rahe nm owe $Y hand ‘eer. Tec ee endependet Com pei eats ‘piemaeton soe ayfeysyy de hy het ot ‘Se pedi snenony. Ths speach eksoen ma predetor eon penton of etinod tnt Fae Maximum Likelihood Esimaes forte Gaus ARI Proce “The MLE Oe ala for veh (529 ied. In pie, ie reqs rnhatng {29} ange toe a In Pa ‘hentia hohe ea em of on Trotonin ind sy) hh en umes 8a SSrel unas eM nt 23 hr res lina! Mea tod Ente ean ete eee Hl Irn inQPe ro [s229 ne jc hn Ba to maine ore nb te dea =r Havent) —(F= ahowe) 1822) . ot Masiintonct [5227] withrepectioc an 8 equine miiion ihn steed by onda te ue (OL) ren ona cot "ivove ar ale Ine son ema eibod cua ood Sartore vee at sounding [9 27] ih pe oo ad eng tel 8 2a “grt 122 chaps | saan Lieaod Eamon srson cae ‘ope bin, pve ang 1 Andes o> tone MEE) anc 0 pone some cts afer man te tt ne 30) 2 Sere a3 nh ow cr ‘he parame aan sapeon acne y OFS (onan baum og) he us moe tod 5X. Te Likelood Function Jor @ Gaussian | AR(p) Process ‘Deion eases «Gata AR) pss, eet Ort Oat eine te SM) sh. ~ td MO) Into, he ves of ein rameters! Simteine tee oe dee i ‘Trang the Likthood Fanction | ‘combat ofthe ew mes sed fe ARK) coe we gett nF Anes “3 fore er eee faa) aco tthe pp) sincere a of (Yn WY vue Beanie EO BY, = WHY = 0b Bana) iss Forcing rata aren (7 = 1 tes MO = 6 Pe nome fi we ot S| | | 3. The end Pacino vin ARI) ces 12S ce he haters fa an AR) oc, et wg he ‘etd Caper’ "Te deat fhe op eston x he a t Wine ae Goer io dpn B® rains a Boonie) Fb goo Tp P) rere eee a) sation oo emerge rom cnn et fy aba Gu ic 124 chap | Maxon Ltd Eman ] eecampl arse A prac, Ve" lt ncate so gSl22 | 538) | mine = ott = 4 = Toniona Maximum Likelihood Eximater Saxman he ot sir am aR ges 3] ma ‘het oman sumer epee i530) “at. 52. The elo! Fastin fr Gas AQ} Per 128 “Te wf 6 fa 4 a masini (539 he same ae hat Borer tonne teak pai oe dat ‘Harum Likethood Estimation for Non-Gausian Tne Sin ‘wos, BU es Meh roel ha he pres inet or ond tment Ts OLS ein so Siti Canc ts] cern, te mig Sy nl posse saint Mb sais uaer te sunt ss Gann pcr wath ‘Men Gautam now ua main eho ima. Smt ce a Si nnd ae "Riera the ro ace oe Gwian,tes ie ani ‘ann ae VB snd Cx 50) Popacd epee ae (eyes CORRS Ne comet tro ie sear aee 126. chap 5 | Maximum Lilicod Enso Sil see 3. The Likelinood Function for a Gaussian MAC) Process | ‘Toidlional Likelibood Function | ‘nara Gi MAC) pes 4 ith = A 9). Let 8 =u) de te ppc 6 Yor = Me + 2) 1543} Oi = = Maw lowing spon ot 42] ein fama =) = ase] Ss ‘Sine eeepc eaeaaedam ocd yd by deta ere is ‘heaton can healed S43] nm ST EHS Faron ined Mendes dt = 09) Hh ites) faa) vans 54 The Litto Pi fra Gio MN) Pree ABP ‘The sampeHeoo ws tee ee es fee ides Bose times 3s 0) The anion og ea OMe caver tens onl =O 45 = Frogae ~ Fines ~§. nal ey Searle Te See eee eee oceans sey otercaieta cern ee tea hed aes siFan etc ecSts ye opc ‘cite A aay as ee womans bane vert ans eee yaaa nn ea ming = en ay Sona ohms es ree SSS we Terese Len eayhenevtass ‘Fra Likelihood Panction fant or» Gnomon AG} pen One splat tee Kaman et ‘Sed Chap 1A sect ph the ng onan ‘sai tn pec ye Gunso wien p= go wand (= 7 ae: f= By YW ‘The arse sms mt or cm dv fm a ACD) pet eee . uy 0 ° Lie 8 aden, ie) = 2A 710) eH = WAG = wh BA 128. chper S| Minit Esinaon ane san hee the tower nel msrien 5.9] a Dh gr ai IBIS Sone a aves i) =e) "IAD" ey ADA — IND = nh = pean -o ast ive) D> -O, eee pene EET, sau ae ay (sana i san} rey od sin -co-"fhal Hew TEE toand Srey meat en, no en decammvamaita Gl age ht SS eia ses 20 = wei)» Ting Cann MA) Pr 9 ‘53, The Likelihood Faction for a Gaussian MA() Process ‘Tirdiona Litethood Function Forte ag) ees, Wane t ants issu) 2s pat ston emg ae ett atts ws tro he in an aS pence aban t= Mtoe BS et te eon 210) bein awed ner 8 = Figtto ~ Ergon - $25 vss hn tte: A nen St ita Ae ue eon re ‘Free ikelhood Funcion The exe ond anton es by Bie 0) = GoPMIO} FogkKy = RV-HY— we (853) areanblrey = oe am Hee epee Thevaaecoasane ce Fametine in tm ae MG pees [ SS Al “iS Shar Nx OS 130 chaps | Mami Lien’ Estmaion Tice ce abe hth hac finan hae fee the bss see Ai mgt ain 53h. ane issn hehe ae ga maser 4 he a Di fas Fey Maret ad 8 me BEGET ia ae oer ae ulcer Sia outrunees heel ans beers ta el ier aang, nme te et Mover hegsr and uti Oey oes cor a og 0-5 — wah _— | Pree SS. The Lend Fan fr Gin AGG) Proce 18 ‘6, The Likeliiood Function Jor @ Gaussian I ARMA(p, @) Process ‘Toniona Likelihood Function Gaus ARMA(P 9) roe aes he xm Yee Alert lin tt ng PA “cages aia te + to a nee td, Ne The olive vr of ppt am Bene dtc Oe at hae Tel a dyer co pa meg ore ‘ft Sheed Bs ance tic Rt oe HO) ere onal Frss ste Sat eal + Teen ~ Fae ote tind dense trh Ont rans banded elaee sh Po + ane rced wth heerton in) fer 10° Aker Bo am eu (78,2 cae shin cg wo ns Trane Before dpimens Tn fe SE meas - TP ates - S fen 20 “AirmatveAlgoridons ‘he nes pn cating Se net ead aon Gt suo Ane eat Ste Rs es Sere Chat Ft re 132 chaper 5 | Maint istod Baan * ‘ee Gabor ong Gabe 19) oan Joie (8 Cape ona ‘Sou Rocen ()sed Krea a aah), 57. Numerical Oprantzaion HO ~ Ehren shen 8) (SAL ‘th schon dsm tow to Ua cv of 8 mars) gen SASESRSCN one al hei bet Tra Search eee Ear ria ficmac cian dar pctes om $30 - ont | oyna | oe mt eprune S73) oe eat B=" ag “0 tog Soke ns acti) 2 "Stn 01nd the ae 18) tey aeo @beoee = ad Vd nam 57 Nam! Optus ASH SS ee erases Perot sre seat (8) at cr pd cleat te vale of 16) accra pecan deteem ona tame Exind arti bceeaee foarenee agence te {Sis oe mi, or xpi ew te al en ‘he aid unl he increments are in tes of G0, an the bet emote among, Ee ieereaaian rea age es en ee ese aes meee seerigaecpetiraracs See FE Sra ou teem Coe aoe Eee eae nee ore irsahte cet ‘Sippirascent eae i Hats autos cea er he) FIGURE S1- La elon or 98 ARI poe for aos pee of 6 1M Chap S | Main eed Enaon Po coca maining contour ton of age mer ane he iene imc hore nal red acy prepores he etal va hws fr woe sen ete oon he allovng ry009 sete 110°) = 800°) += nish ee ies Lapag alii, Deon [5.3] th pet Let dee the raises he Ig Md Fenn: aia 09 = 14) 6) eer ots of tn a a 3) eH ove Me ‘eyed hee tbody he soe mea ti ml agg ai br ning ing is otto, xeon [574] he wen 299 » 0) 40", crs} Erosion 673] ers tht ine eam o shag 8 yo ad mouth psn ete Wheto neon wb eee he Feel reer wa Foran sine tas = 2nd ie tno be “1 = ~~ 2 701 ‘We ci ey se aay fr hi cage a Be LE pen by = (etapa pat ert ep BO. a, Ba isa mT Te ate Lat) Sapa he ni ue is "= (1 1) Tes ee th lowe i sa ei fou i ld, wil nee awed ‘SSoter eth ae oder ered wo w[] "see propio, A. Foren Demet hat the ew ees woe = 04 and 6 = 02 To ince te Menon pene sont ne wan inten 8 end eee eae ‘ether as aaa pc 0, Sisson hg yh at Sf) hn wo mean gy change ‘er tr oh ch hor preci whe he ny capa we net ne ete of 0) fr apd numer ne of © We isn in noonyoa getabeae ,Setd8° Spe ory om Pherae nc ae Sette oeeecace pegs Se AicmamcheHit oot acne) macy rec ys 136 Chg S| sain eed Enmaton fet re apes othe ae by sing how 0) hs fea cnt ose sro no FO BAB to Pau A AN ce pee sme my se am we ih ab $= 10% By ‘ening te ve wf) 8 a tes ae 8 Secreta inated sens Timi al seco 6) canbe unr 20) » he x 1599) tinepoteuch ld for cass mgt caease te ne eae 02 = 0 4 04 Sie ett err iee 0 a rome se eed omc = DLL ™——. SSUrt etter go cer ees san FSSC ond phate ae an 6 rT Eh Sh Ttpceaaistaecsr sterner LcGteersctsten terres oie SS) FIGURES. iene contours sd mansion by eps set ‘Teton Rophson ewes Newton apo fe comers mare guy roa tt yc Sec gee ie ch ton) = pe te eo tpt vce te og co anion ae set osc -1 nse mi fn a he ery 7 ae Cen spring 0) wit secon Tal ste ound 0) = 200% + g™|LO — 8) — Ho HEHE 8H} [5730) “Thee tid the Newsn Hapon mtd io ce @ a at mine [E10 Senge ern 87] mn spe eo sr ss9 = mer sna 138 chap 5 | Aina Litto Batman erste ofthe og ied that intl gem eh ley SITS, cram of Onn en Bape] pes a an pon exit a io) = mo) 00 stint of mg | ere 0 + =) 0 on tte og tend ncn tages te a eet ur anne 7a hint a (875) a geet eet CE ne Se 2h gata ey ra ew hn he {rer he litiood function» nt cemane, Newton apon Bebves git fly Ta spes ae inane epe amet poe ‘Ste bu congas wi Neon pon Shc [1] omaty onan apeoatn to he weg shod ‘eco atm ae td hs apc Helena te ep. Tho sates eo ice 5) wert 8 =) 1594 tere sear conoling the tp nth One cals 0 and te See i eel ra a 8 ‘Davidon Rleher Powell rae eaters te i ln) an i a mesa hep ey one ti oc ‘nc ders rofl Newton apo “On ott mt opr motes esta gon met os rope tb Dyn 18 of er wa (6) Se NH oh tn 47. Namen Opinion 139 satires tetera is meet re Shee) ne oe he 9 Spectra tenn sae ease aateaa inne ncaa worcerneyen) ei rat mains 10°! + si, Oe 0 te nt sere sold Ao ke fo [5:71] ez a inte mene of M(W=" Conse a thee wen 9 8 SE ee el sop Lammas oy som Garo) Ra] = ee AS en the nat et apres o Mere general oe & > a timate fhe drained settled angen) ase som aony + Bl (mp fa) ee ngaeeD — ae tae, ec on eine A fH sol iy eget ese is70 140 caper | Mesa Lito Eason Pomp of 576] Sa tie Baton iron tine A aad “yee use nt [577) ine ied ahi some thr ntl ropes othe ui formu [320 Proton, 5: (Beer and Panel 190). Comer 210, he mae) ms Han ts (a) Th ei asa > Och tht 2 (©) sin {5718§ chy sr masini U0", on he lone Sls fron or metas a ins = a4 =o trio tha se enn of ‘ents Fi =p ene ot (0) eas thet 2 ng ate es hey a a pin 29) hee east asta con Micron lected sch aSeapa ‘Result etal that posed tha the fran pen ‘nts mune the he turns macs Ao a a ae {ieee Sh ent onsen win "he i hein 2) ly ud 0 20) = 100") + 418 ~ 01 ~ Yo ~ OTRO - O°, sh Moe dee, en ee Pel) howe at ean at iS fea en comer he et mm wae He a ewig ac 57 Mme Opin 18 Seniesa Ea wef Ja I eScrts ene t of mond eats oemealy or ros ot iinaamntasteremmennsi oe poreriers ‘Diker Numerical Optimization Methods A vat of ter mode Neon psn stale sie, ich se seat ces png tat af MO) eo ‘lin soe pyr te os ays 419) ba Be, Ha Fass aun i) Suey es tae ater oe aprence e roe eet Wa deep. 1-72) aa aa 9), “Sout mots ee nae sno 0) sepettoo Ms ae nee ncaa hen nae ‘iets “OW ‘5 Sialtcal Taference with Maxim Likelood Estimation ese numa sty ate te by tec ton 2) Te Spel eprint at ‘hypo eal en thee sme moe oph in Cart Shere ‘uf omic eb’ mayo se i dency "ies dting te ely ress R'2 wa cling inion to eo tei songs he the rma eae ation Ft ‘umes atthe vcd Sate lysate, med hat ee theese 8 oe tee ao Boy eae nd itefven i nutri te sans mime and me ‘i seston te es aoe 142 ChperS| Maximum Lieve Eman * Fee snd Eros for Minn ikl | ite sample si 7 fens, i ofen tus ot hat the duo gemini eat = 5Q, 79, a sheets te ma The i kena er ‘ng [282 teh} vine ree Teneo oe [es rie mae Fb and — y= [Sh Sor = 1S tw. 1M6. 90 sa Hermes 1) se at ees eg he soa way = Beata eo -ane-ay=[Sod.an aon | As an illustration of how such approrimations cam be used, suppose thatthe top Mela pent neon 7s) Forts ce one cea Sonic Inc i Mein Lieto Fstimion WO eosin cnn nero pe 2222 es tht ns eo gl ene t 3 0 inenert oneness ‘gestae all helena oe mr nas ivr hal i od "vb enna ote Slumaton st Dur Inn ini beter wwe in Ted bette acy lio we sh i pnt yc ah ths may mci tht te models sped, Wht (M2) dele» gen {Siento Onn ener ‘Tihaiood Ratio Tet Anas popaa apn tg yet sos parame le ‘sine tatnam cole otro erp al ee iy os ei ei he ‘Eire to apa thebtd matiom ins toa Rea ae ‘nda ene 6 ash lel ge as el {teal he tens i pan tes lysine by ei ech llr abet ements 5 ee i ti oi ioe he untested ett ‘nt 7) deat be ae the eyed fesse eel ‘Sine Cet 0) > 2), anion nso cs a ain) ~ 0) = iss} xml spe ts = 2 and we ae dn ein hy seth a = Unrate vcr eae Since mS f) ere Sopot ates geen Sere Oct eed Mt eb Tad 48) = ~LSe 46 « 1, The int ade cain fr masini 20) 8 HH Dae. = A The etic MLE as 6 = (dhe mina ave ‘hale foro itn age es 9 6) = IN-1F- OH0" Spee 2 I + Se) “Te vresited MLE = 0, ae which 8) = 0, Hes, [585] wo be 2a) — 0) = #171 144 capers | Masia Litto Erion Tagrange Mater Test nore tate stint eno om [5.83 sot con nd ctrl ‘ai eS nay tf ch mec a Soe cel MLE The Lagrange map ens ed i a al ony en as ek ; ine tee sin Oat ced a Le bang 1) vo pret dt be nine of tat nie one asa aren ee sk th (1 vcr of dts tho a en 9 = Mita ro[Smmn] {Seen 1) Sein The treat mute 9 re Se as ceeainen Brel ys ‘Dia Maximum Lidethood Stondard Firs j She ime tka se swe Shea i bene pete aaetaors eel paes earl scene nme 2 08 — 4) = Td atdl-t xa | ‘otra mts ty We (9) who dee 54 Seal ome S Trequalty Consratns ‘A Common Pal with Numeric! Mavinsation sgt ett A te “a inset ‘nal seh cma ten pone tyson heen by ‘tor et reg wnt ose Brnccompet wey ae forssich hat gl = gts g(8) = LI cleton of [72 wall be ite 2)! aan bye rset, jovi! a itl same chen wi nd pad fin he lsh wen hep rama T eter mee oped ‘sting he nl sping mare An [57] eq Osa pe fhe wy ma nna A = (0 10>, ner Aero, the Sr cee ain tae oy nf founars fer exam Sag = 09 he AR exe, ‘riley peste herp ane gut om een at Repeaahee}pener nun whch mundial ss ‘Ete Pole by Repramcteing the Litetood ‘ne snl ay eae ht i rch ly tik sin eo sith oe a cal topes oa [st [a [as] ee =7ty ban petting Saas guapaaecegtarn ree ‘ems lino enim os them pee z seayroitommcy yim i, {Gem of ond dae ofthc an in (8.3 spe ibetanlr rr for tne othe ova fr Wald te» onset ‘phen dese hap ran hens cy singe Homer “Fararetrizaions fora Variance-Covariance tris Evcnbertwaeh pest nese sudan cps ‘Sl he ne eos ten pe suing th pre ony ‘hehe appench te petra) inten f heme 1 is een See ae vod oe 1 [ees ot! “Sette [233] ot be Puneet peeve iene 50 eu Conary 147 | | Farareterzations for Probaites mn on of aor mete phy nhc ne pont prance sine ot ih QI AEB ake) fee 2 SMU aR abe rN ‘Trae General nequalty Consirans Fore mad ua a ota ee uation tappnih senecmer wore oprsbmgneneh Becca ecb cn er, Tike won oy as te te pce tense epee! ‘ln fete of eign ncn Smet kon eee ‘onan MU atone spied casio fuse wa ge omega si pres ikar meses pve inet, ie cpl ih ea Si i apt 380, pp. TP“) Sad Some ot he [APPENDIX SA. Proof of Chpier 3 Propostons (0) Tor teem, 99 = 20) «0 Snag 57 3, em) Hon) = gemfaeyey + ROO" ISAM} Sin A> pi in in f°) + 8x S.A eins at ‘zgr) 9) = at) + rete > 8 Maan 0-2) =O 0 He, he is aetna MS an (Drs dite rer sem mu seam See ae = somo (saa) = onan, eb tng tn 718 Te tr i tA ge 0 0 eA) = OT = WI ih hae pn ning 2738 Th tit 29 ones a san eaten he Sr paring > leant ste 38" 2 dost Ay > ve al ‘oe jar ban 2, to 5318 tr 9 = " oN: as ee tts he 9 = BBE te A. a Bada = faesaiaet = pie nyaw y= BOHN 8, aban # Appeae SA Pon of Chae Prpntons 9) a is) Siw’ nan etd enon pen 0 en Ty Chagas 5 Refaeneas Apeepeeggg Overt ie 8 re 1 Op Ene meee ‘ose “ ‘ Te LOme ne nd Thar Ale in min een pu Se TPR Pn Med of Meal Ean, 2 Now re aha 150. chaser | Ma Lien Eman Comers eteones ISL Spectral Analysis ‘Sed nvr ain: of os lamest othe Bonen Cr Siac me soma "fi pesados he wae of Yat wie um of eis ‘aptamer abe entra ara ees ven [tenement + [sna dn ‘The aid demi ow nga es feet eee ea ‘Rooting be hbo Tae tno se Pees re ‘Shove’ Arwestlae te wong of sunt aly ey ‘Svcd pts, nd ay ess he at tat canbe eid Sligo edtigpeetnetacrt gs ‘Strona ancl ted ae pe ompeen th Scorers SS 2ocam eens ‘Ti. The Population Spectrum Tie Population Specum and ks Properties ea oases procs with en BO) = BOY Ag = sa en we dete comes 11621 hid Pr and eve te Ler ee A eet ed deme nd = keten= 3 Sem Agueme ofrecer SO eee " em = cv) ~ ese. ou 5 nemo ee fost ote ht fora sone cen, = 7 Hee (4 pls 0 =F) a ist ema = ona dna — cov) = 1 mig Sm he mee fan tn bls stare nat pi tha) ‘Renae omen to a0 Se ea) cola) ra ‘Srscanuee set mad 0 Fy sects 2) = ce Sine hw ea iy i 20) to ray toe trate tetnen Onde canine ae fe nyo (1 he Ppatn Speman 183 ‘aleadatng the Population Spec for Various Poceses et Yalow a AC) pros Yen MD aa = Sau ime eal tom exenion [65] at te aaa geri eon for Y Senor soe) = 21K", ewe om 6.12 he poplin pecan fas MAC poe ge by Inte) = Gay hotles en _ Esurance ula) = 208 fe en comer a ACD pes: ere, i) = 1 6 an te ppt pcm it slo) = Ghee 604 Sento toes serra Ml 5 + 6 © ee) so) +e) 6) = Pea, (6) st 60] eae le) = Gaye 4 04 2b ve eal atc) os tom 1191 3 gos tom Bw He, whee #0, he pram a) rs noun Seren ain a {os} mer wien 0, sc onan en Toran AR) poe Feet tate, ‘weve fe) + MG ~ 4) alongs <1. Th te pera nib FH fous) oR TF ee sees ese nen 60h demir mena arg ner mei Thovy(e) k mossy euewang Wen @ = ie mn ta weet my pops phen i se) = ae Lae 6 tat toe et = = 9h n= na) Degen dno gare aK dah ah so = fli 8 me ‘Taledsing the Autocovariances from the Population Spectra sn pice we can site nt foe ay tomer eid Teme te tee toon he eo ora ne he a ‘ibe nna. fey ot Tn team ate ppt ‘Seva seme conn or eh “helaomg oon poe Ape Ashe cath ape) It we kaw te eqns of urate () Prptin 64 Le i Bean by anole eee nani ce} fo) Tn [toes da wou Aon 1c gene ite Fst eta = wo 1 The Pepin Serum 135 ‘Trapt the Poplin Spec spa Bilin hi ple Raion 6 ing [ato eum lather nd net opin psn nc hehe [eae ‘Sarl tad abo oe: Reinga (o) mete | 2 [Sot jon ‘Sona i ny ate e ‘eta aerpca sic ee, Serene at soo) + Sine out ps od ae em random re, mening at EL) = Or 1h fn fs raced may somo some (Sh yok B19) = 0 feast 217) § [eorston +e] = Saforten + ston] tena $6. cpu | Spc nis SemNet att svi) = $eorntaronte = 0h e tera +S centapnenine- 0) © a= cog A) = emcAtcouey + sayin, fat) yea B= = neh = B= st 61.21 same Bo.) = Latent a1 ‘Snot y [oi] sna say tog i a ‘egunes of soca fy nl me seams pes teueey lr pee tetas Race pea ‘Ftmsc agreed terms os esr of [1191 Far an nc ese) ital e ata rn arts oe) ad He} sod poet ne 8 | ws [ttebet + saan | ‘elm emcee sae an ane ae [E do) se uscd wis Toa) ca andthe sable f= Ha) do's | ‘Sasted vit J a(0) ders be my 2 cane ado & | SPS ed i ad iS ech regu hen ome speciation kent edo mae 3) Moroes me as a a aa sey s roo fh peel mprettin tte for stain the rence feet 0 Cramer an Lender (1507. pp. 1368). | Indes scion provers orm cen os esa vero ‘Soe rel Soeng BE sewn spe ago fe ee sina swon son rerio et ‘5 The Sample Peridogram ‘sve Stine vale he popution pet st equ 10 fa = othe ant = 0. Ne at ppt en een em (Oh eum Cond tao? ocr ce ie SF Tp cece” afr de Mog Pf = 12 ere the pl meas Soman ee ee won afne aS semen) wa he smectite [6.1.17 be eo show ht he es de {Se pedopan cm eo [reruns Ls potion pm, me pam mee uns neaflsom ‘ate oo ns oto ea amp analog othe seta represen Sheth owe iia ed ectcen dyed 2B be "Ke oth th the ac fe at pene Zien ms hide on ane 158 Chap | spc . tee eae at — a cnguin te let cla — Tees Enea hai” Heeroma heated” ar) tetracaine ee Heap we yg THE a on Wor ye ert ques fe?) Te eqn yaa won eit yn sae Bona fe a wom seb elds ot ol gy es Feb kh Mam] et = enn a ay xa {ned vives for thi repression ae othe lem of 626] who err term ae Niro eo ttn oe pope en 8) ‘Sin faqune oy Tis map a» ees ane a tt ropa {piberamp pounced» Inet mre ay sured Sideeearambe rane tems oper ator wn [03 ‘kin le amt snc a eyes aap te ioe rom he me eodoga Tce pecan oe {edu poponnan ach poesia Apion A athe cad aha | Prope 2 Lt Fee a oe and it Mom (7 = 2 Lt TU aepr for 2a adie ee 1 sa 8.29) Th no CL 1 Sgt ih = F be sale mean om 623) ant Eso) forge 12 oo (6210) seam Spnloe 91 select a8 Dl omg -wn0m$ fa de pron ofthe ne uc» at a esrb ee of equ op ge bys (6) They ft al savant of htc Be aie of Feats on ely pd 4G} + 8) = ear, ro he te sp prion gun Rel (6.2.10 ober at 3 ‘Sc ty sere meee io SSShuel pr nad con ‘fg det a eed aan cn ‘ceo hese The pops fart nonheme Now hare nr of he aie yep seit} Why sen neste geno Deane el Serpe ‘hae ha ner ulead pec nt te poe 1 Y= esol -a + bal eau aon wan, mening sat (ee seromcan mon are Scio) = Sil) ane “et =a, ihe ces [oto vay wie Y= cote si. warn cad ya wah naemy Swain fede septe sh {1 Ala: of 29] 20 ode nos ts acon n2y) + bee om Agios ft ie and oie conn ta 2 Aiea Y= econ + San 01 ‘eri eg ieong eos Fest cichyoa calf ondooiey haste te When sped wnat hr etm rar ene | Soiadh| reat rf animegeraave st 22 Mesa Plogn 6 / ‘Sige tan pena repeat i eet much hat one oul bout | orp) of Propention 6 des thatthe porn ofthe ample rans ny a eect ne eel ae | ee cece neereay har ae Fare operon cpt pcre | far ptm epee onemiemecto | etree aetna’ Hany etka reper much tex pba Sent J, Were | ipreonas ert gute gran ae ae gee ace ny eerie aide eee a nals eevee | 2 een tt a con ey | ‘uktvhetetely oun wooo the sameway aon we can oe SASSY i man | [Rovteraes [Panerce (evar oF and tt in) derrantiecatan a 3 ’ Sx cmon. “onion tat» ce of aay parte quency © SESS cee mmmene rentnn Tananmracietes ti ‘Sofequace Gis ahve partes ves tte [62 68 | kes | Te lfplacs the yonan ot tarance oY that et ye wh felch ape ttnins eye aa | SELESEISGE Sister SUNSF i aed i Fre 62. Suopve we tought of 8) 628 | Sais Semin arate rer somes aes meus mond Scien nineonetaeattcn | sy rand oj Since oy = eT. the diference wy — o)-.equal to 27. 5,4) | ~ PRESS ato nee ire aan eeearaa tag | — — See Rs ris insects ies see wma os | eiiaelneees erent 162 chap | Spa Amis : si sary wie a he { oon: 0) aur AI ao) oo TI | . ha a ‘409 = tnt + 8, | ime | a= en § scntaee- 4-0 S rotate — | so alls 55 Estat The Population Specirame Seger ase pin eh thines eon Svinte saree flowing qu: Gh an sane spe ‘sh how moh bee roto vlf + [Znsator = aiff Tage ample Properties ofthe Samp Perio ty samp prado a, Howe hs apres 6a come ce reer Heat de tal Nena ee Copan tee Ce ereerrenee ce ee cetera capa Tae Bw waa Janene tt tna ua ma tht tint 0) tri, th an 6 ‘Bh dep a at 33) ‘neo er i of 2, ek (3.1 sz hat EL} = i ae a cet te i ga tn ‘Ne rm TuneBase ame) abe il betwcee asm aT tom|o3 50 nua we tr malo 0035 tre te lay tl io ney ey gee nn Sx). Gren eas tsuneo he ya ttn Seer try etme ‘ore et [6 the ete) ot ting oy ocean he npn Fine Typ oe eps a comet ‘Dnt pertter anette mpl pos Fo eum. eae {Erbe spl stn tsp pn A] en Fn =, ‘© hone ostomy pe tem ne won be seo in eat Ste oh acer Te ene a) die no Jor at EE Faeny tue hae edo ia sy ute pear eeien Go ara ‘Frareric Estimates of he Population Specram Sen ev ecole eto wh an ARMA 8) Weed tila te Oot he Bs vemae os i ‘he population spectrom ett estimate the porameten dy. A 164 caper | Spee Aras ainttanoeanacstie or hs ate egal ‘pei orm eh ith min pcre) aan) Scie act RR mar pect edie shot! pode swell site ae papain pees ‘Nonparametric Emacs of the Population Specram =| “ne spin 8.3.2 a Ya erm apron by ae anurans iS Ace maa ob TY oy) whe cl hi se a m2 be ened iho write eng the a of as ir Te a 1609 = 3 ee ooo wy ere, Aisa hanna ameter iting bow may Siete guesses fy. le iw ml or Sone) The ko a.) ‘aac och wegen ese To eel ghia thi etn pop emia, popes sata W9 stay HELGE waa Syer mis Seen f (3 tin te Paton Sp Pe voy 3 as See ee ae ‘Rotaing i) one erect ets tthe ro weight «7. For example, consider an estimate of fog sro = [gaya wan Sting (6:2) mo (6:37, uch an int could equ be xed sot [a8 smeo]a = om 0% + are yap fen woos, 04+ m8 pales neo Ug te gnomes dese A+ B= sca — B) = Dor, (39) ‘xeon (3.4 cane writen 80) = 297% Gra) guy Recep tioe0 {+2 Rican}, pom “ Or Bremner nee tienen area Shay oer oa 186 chap | Spo nar sy Re hm nat ne oe ta) loa ig cms yb den ier ey pe Te. ‘eater rb ny pes ese mn been, t ae (644 4 ‘The Bate xine of cram us sie f AS tetany sl get! x2 ined aera ee stalermaarotaiccohesatyy eye ete he Sted a Pe 4 whan, cee eateries oem co RESTLESS Moment ae Speen iowa acta oh Seeing th heyy nay ew at i ‘oreo th srr i643] ad ary faa pacre 5h may ‘cut forthe gequeny Pak Pe 8A sete es ft ‘Sean onde yen ee grote rt ete frre ng eh ‘dre oh aefending mothe en a = Hoty) otal (os) ‘ec sh ton ns een ew ‘Art rte wel pam, he meth ein 6 tea a gs) 6 apn te er == Db esa} FIGURE 66 Eine ofthe pcm or yaroyen om te of mony esta price perm 10 me te sl een ea heen Face 170 chaps | Spec Anse noe the sutcovaraae gencrsigfincton of Y by gy(2h and dena the ‘mutton pcan of Fo oa : _ ws : ‘ ays Se Spice ‘cat tp qn a toe og ct. 0) Heit teas seen = Come MeInen, 4M Setting 6-446. abe peptone "ibe pope pecan ¥en fo (0) = Meer wa) ‘teowmy he noon ese aac the ete oa [4,e ier &AL) santa ee") no be a memes) = 0 em 09 mee (63) = 2— feo, He te at i le fo 61% = (hn a oe fegatry ww solid 9%. te spn 4 Nejc smelt Bromine none ho gen aye on stomata) ex ithe al wes tay ens] tbbetie su nce oth Seed ne Deel ea The swoon dierece fiter wed i [4.3 & ML = Tse | 4. Ws of Seca! Anas 17 “This ction sul io eo wen Ie = 026A, no Dat eit ie at teuens =, St on wi oo aod ‘hata flrensg mt ony eines te wen) = eo opens cee bake cs oa ‘Conponte Stochastic Procenes since naan i) at Ses, socvarnce peneratingfncton fy), open spectra yo) SEE Ei a Sar we ee esi om 4719] ha he vara eer tin fs the ‘vot the wncoatance peat ace B16) = el) + alo {ftom fom 6.3 ht he spt he oe a fe 240) = ao) + Sle (eas) Forex, ne nce hain oa eX ‘ecru eermer op yh conc oe) Mare ray ek Sipe aguas lhe eh ‘Aer ee, sip: at yees 54 ‘Eirears Ste spe wi stance wie want win Sat ing owe rot 7 ac om eae Sh Meee) ano (089 the et fe) = Meera + 820, “RPPENDIN GA. Proof of Chapter 6 Propsiions Pata rept Nae at Jessie de = 32S ye me sleeve ff = ot =e ast A72 cape | Spec Aas on tenn Reh = se | [iene at «tite tate =f fet + endo | «fia waa eee a6 ioe tote = t= | ’ seco) eat ay wap B= sini 9) ode had reaper sei lo rn pc ae sss Efe at de = ss cipedf eat aetna) osm = 8 [ater te [i fnew fs = [totem + ete {a ed (eet eee tansy Meth iiay eee ee es ru 8A Pf Ogu 6 Propons 1 Sewonme- m= Sor waa SOREL cite seamittery goals Femme tans fevee Gren A a ee at eget Fits x7 mt wig eet 6A ote z = Woaay 0c etn fo ei fA een SE acon waa semis A pi Sani = hed bore shed eth i yo te a eda pa [6220 ate ma ee summit Beto) nae wan Senteute- Seout 0 SREP RNS ee es YI chp | Spec! Amie Sete mao te 1g mam Zoatair— pee ty ” wan 2.7. ie a 0» Semianing ” asl escnsTa = eS ane et) 6 on = at bau eam reeset aod Scots vpeodeste~ 0) i EE lectin = + exit =a Taple + e-ave =D | 1S let, + at = + eps + k= 0) ox = 0 = ree ES tener ane + eaten ~~ ee eee aes Skat a ee Arpeni A. Pref Ce 6 Prpatons 178 seit ones a mega copa i se en Sato = shar laine 01a it~ ake — TH) © A= = wow = HO Ster— msi 0 ve od xsi et 07 Sie A 0 6A) ra Ppt 42 sgn 65h te ea canara [S. rh am 176. cup | Spee Anais aan] el eaece lig cele | +h a sya =e wan nS. pata oh Wat sen $6.-sn =o oe serh ean Zo.- setae © a ubean fe Seige (Ao 6.435 ns Dew-mte= mh AR aesani-nane-o) x [So -rentem = +40 § $n - eit sucnf inns = y= nek + Alo rin net + Brn meta = Dh. Prekig) + aa +0. 3h ra + 00° i -Prenk l} = en tmil © e B= n+ eset ret aan sequin 8 Chaps Evers 42a tomes ane eee {2 ep 9 an 10 oom npn at 6.1.7 a or ie ior aero References AotW. Te Saal io ine Se Ye We. ‘att rah oe sna er Ana No We. 78 Cope | Spat Amys apr Rte ” 7 Asymptotic Distribution Theory iret toons tiaae covmeaaraa crt ‘Soi te te sale asd on the sere spl selnaamesietestate ee eectarem = ceaeaiee aires ames yes See i coms is cera eee Spraite eecon mam mrcenety TT. Review of Asympionc Disibiaion Theory ‘Ti of Determisie Sequences ey dete queso emi umber Te segue nd secon citi 2S eacre slacks deat fens, rug regen orem e¢ = Pent the gun Lh ef eh ef eens 0 as omer ‘Tarwergence in Probabitiy miler ee faa vats en The eee sae hin Dik 8 De Py > 8h baat ‘When 3 minted te umber cae probly t,o, ces [yh wine Pn X= Real hat if eam ene ometing sen ee ie a ee Sef Fc me wee ce ones os hes wei | Meee of m) mais of vom ares ames a gia eine to emea p Move earl nV) Stee ff = ates ne wil ‘A cal queso do res of nest he allnigb geese sat Scots om ah weung oo mo a —Lrrrt—~—~— Sargeras ses seers sequence {iF ele Tf te vn wi eye Lr Sete enany ee aa 2 Reo sma Dian Thay IRL “Te Sotowing et ie gute bli ing pro handsome spearmint pep Agen 1A Prion 215 Lt) dena sone of 2am or mt pin Eda) ma omaonae fiona) omnes end nt igen on Tn) Thea ea eid hiro tse) conto) wirnecin ao ponies am rnc oe Byshonay st ge “eae ey ha ew efa h ha ) se o oi cane ont eto ny sn teat gt) eens he ae Xt cant depen on he inde Tey Than fuky TV= Tay mes facie coed y Peopentn 7 Example 7.1 tnd en i A eg) he le eb ave Xin Nah = Ukr © Ka) cota ante a et Example 7.2 eB sate quence of eX 0) dom main wih Ky 9 ‘Sonne mat etka earner of (n> 1) nom et Sing ee Then No Hy fe Tove tnt eens ihe Ry ae ie jes he Coa tyr a Sion Came ( feats an fy Sys ll pare nme a pc meno ah tne Xe Si inn anaes too SX ln Nar = fm Xi Xp = (6, Frooiton 7 ao ht same fhe ment of Xe emis ‘wi venta mar at moreno 23) Sessa NT = ie) eNotes Drowsy ts ets He Fe cy Se Set ces). Oo Example 73 - Conroe stir of he mes pen Fs = [AT — 0) Se Tce etn Nowhere [UF DY sent smth opine mei, ping Fy aby owen ht gr Sie en oman uno icant tins tay Py a= Tk Pte comet ‘Comvegence i Mean Square axd ChebyshesInqualiy Avvonpet cotton anc inboby ea ure cone ‘het Spence ean sone B82. chapte7 | Ayn isin Theory Bey mal 17.25 Gerd Chie ng Lat Xb random ae SITE feny9 ay esp rx ~ >= 283 past sm of rie mat th 1 | SLTATT PEE GPT lca | fora = 8 From Chey ie, ie hg Pit d= 8c ‘Tarof Large Numbers for Independent tnd ently Dd Varbs Lugo om cnr the Dei fe ame mesa Ty = (UTE stag Sma natn Fre ¥rbweetioe 2, sy = 0 ve(S ) = 09 $m =o re T= mi mca hat, gg we at Fm Fee gop ancrampl of he etsy ote ample mem 9 ar nei nA mg eS men Sens wk an a iy op ot ‘Tonvergence in Disriution Les sb gif ii lt Fy ee he ‘Serban Fy) at 2, Rew of Aso Biiain Theory 18S i 1GURE 14 Deny fhe sme men os ample ake. ya a whi Fy) cations. The Xi eid come i ern nt nes Whee Fs) of acam oy, he cana debt enon fr Trees bi ew cose one xe ma “he dons ae ance he sae rep th (1) seco yA mew ey canvegence i on fea he TSiowng ear (ycehety st ate comerpsi sition oUt canker tM amy seals hese Benin ir ye tome mei ibe ser TEEN he ge of 1) don vn ih Suge ain fy ona “TE 0) Citafcciopmes fannie Noemie iat Ee re yay es Sens sect eae fs Veena nba od Sel a nn EEK essequf redo 1 wih Xone ei acietemchep tc he se Sn we i en Sao © 184 caper? | Aspe Dirbaion Theory IGURETI Dewy af VT, ~ Sippy can Yate ¥~ Ne. The: by Poon 13) he sere 49 bs he one ma ott an ae fines» Ngce) ever mr Es Ne). Example 75 ‘Cenc the prev re ty 4 ae idm on 8) ‘nes and V9) agen nom (4 1 sexo with Xy = € and Wy ¥.th gf) Thy he Hing ton te Soe ine; tht in hy Ne en Example 7.6. Sepa thar NU, 1) Then Proposition 7) ps hate oe SCE py ie ie ue oa NO) aes Sh ‘Teast Lime Theorem ete senshi sample mean fe nid sequen eect ay ey? og tes ce ee ‘Yrsmore eal oe th porpore, ia i om rane VT a) {Seana nF, edo abe OTR, ~' cag expel comp LVIGFy converges btn o 3 Gaus andom vere Te VI, = EMO. 0. baa a a der mich ore eel nie, some wh re ‘pst neon Figs? gpan stom fe demi VTP, - hore rst 2, Review of AsympocPsriin Theory 18S ier iy eros oe Prpoon 7, Let) be ws of dom (1) er uk tha Xander ras oh owns em) maf ere te ‘hen VT We) ~ 0) 6, ESI. sore emetic ants Threaten See hater eee icc aemes at igh od teeny a Hoi" yseomimon y= b= VIS, ~ WG; nar nods, TIS, ~ (a “ih. Ten er ‘TZ Limit Theorems for Serial, Dependent Observations Isepceden and nally bated oom vals nh ete Second mo ‘Tinie sacar om etapa es eo age Taw of Large Numbers fora Covariance Saionary Process melntigtney Tien snap Fo ea a EY) = 6 forate 2a) en-oney means Ba hee faa om pope gt, reamsx os ‘kg xp 24] he alm pie ad 600) = 186 caper? | Avmpe Dain hry he he veoh pe men 2, - nF = IT HEN, — m1 OH 8 HUQ) DEO oh wh SUT NEU, — WMO =) ee = BHI = a Owe (85 — HO = 96 =e a Foe Y= al, =) ew) Ho Oe UM Ine nine ne en tint ment nt taal Fine tment tal Se yer t es yea bot AP, 0 = TMT 607 — On FUT HB AUT By Fo Bed Br 6 = UNI + 1 Hoe + r= BeTIEND SHO Tap es Wye 1 on min etek sr 2:T Miacman Tates sie 3 i Simin in sinitanloahlcants Se pag 2.3 no (Ty — 9, sc int epee pw Tne matt PHM a= Sy wt en tan ety Ee 22, Lint Dror Sri Peni Obs i = ree, - | nin ty eH I Hd Hi 21 THs + r= DTEER SA Sita WIT (UM a + OTA + CITA + WTA # Be * Aga "Bod © = (uTiy| + BTA + CHT + Tan + 02 OMA + GMAIL + BAI eo + CATIA 180, ~ w| | and on <= ach AUP) CW for ale Than 1) 0 nfo on er sn 52 lind er a EU Wee EL. eh sme eg onto (oes id= men high han he tt ex Topeay woul we r= 3 Howe, cen ure hs nse ene ‘st enim ng a 7 cs eye 4 Fr Simple mean om a wipe dees sequen ¥, 4 FEO sno Gok 72. Limis Theoret for Scity Dependent Qlervaions 194 Sista tifa = en TRE He agile rae sues ih F< A fc wm Eada ders ae) ey teed ge shea gc 0m 20 Home CUTE othe 2. Content Estimation of Second Moments on Sr. 20 ta t,t tt ain 798 ROS Ser ces wn. = AS e404) ( pam) Hee Wa Nd a Biblenetcns = Bleue Come rect ofthe Ba gn fn HE Fb hd) = SS Sele asner = Elna Sima Swdere 192 caper? | Asmomc Durbin Theory Baltes Blicatolf Loads efersiino| = 203.3 bealtctcen = Blatt) ‘Ses abysmal El = Ba ity = 2 ie ag a Sen w= bw Sora. ror ola 4 wn, wn Sy Sento. ass) Iissigtrano dasa 2 1] a hing ato 00) $0, — ke — VIE EO — waa — he 248) shee Fr (UTE Yssee Bnei 7 ‘Tea Linge Theor for « Martingale Bilson Sequence Nex we mith ym dition of VT vines th pe nen, Ppa 7.8 (he 984, Coriay 925, Oe Be ar Irena iene neque may (TSE Supe a) = ort at iTyStyoten ata fh Eve = formes = Santa nd Bane ae TFS ste {yy be a manip ference Sequence wih EOYs) ~ le = Let i Dita) WBE fy () Eero sme FSF aan a UTS Vy han VP Fs OL 72, Lame Drom for Sra Deedee Oberon: 198 | | Papin 19: Le i ban dni ce mariage irc fumcenth y= (WEE. Suppo a) 1002) = apes die ‘Ro wu (UT) Aha pre emt ane) ET. Fos) = = ora and cing = mee YH eos Sie oY, td) OSE ©. Ten TRY 8. asin. option? astra pig ett contin, Sap potion we a en ced ame at seein ces arte lurh mone The lowing oc ewe une Se SEE * Meo sins then ct ny ‘case proces nik Evic¥s = = forae Wand Example 7.14 CEP ee aay 8 oo + ace + emt lel nam ‘eran ener ge” 2 7905 Ste amde Eee Wate Chet Sc ane wed Spe ah ERIS rope uo en ee, s ni Ee) = EU) mes ea aoc ay ete) ime fy RO ay age os _ a8 _ evn xn) ovr Sarata(aeenn). pam sone, on 3 ras] anda ‘ut (= 07 ea mange ieee ones wih fake cond me om Bagi on Set om.so vi. san Sere 194 chper7 | Anympute Duos Theo“ wn Sov..eteun Pom (2 gs wn garseeyn, claimed a 216 ‘Cea Linie Theorem for Staonary Stochastic Processes Erriae "oy The ne mocap the cna bere tote te fon VT, aN Mo, Tse nt ppt pee a Proposition 7.11: (Andesiom, 1971 p. 429). Les | nowt Sow | se ea ef don eis mt 5) < md vary aia, S 2) Aven 07.2.9 ab be eloped rf)» maine itn sequen eta eine is el Sl ee [APPENDIN T.A. Proof of Chapir 7 Propoiions Settee lg ago eee ago ge Pig ~ afta raat oma sp rei sh ag (;) = 48> a Wire 4 ky gt Oe Past es tue ere fe > eo a a tin ht Se aS a at Fy => WU eh Veen Arps 7A. Prof of hae? Papas 198 oa Se 7.2 wt ta enon) ewe mene elit Seah sie)" ele ete wie ane Eirini. stepmania dea and = fate ee re = [j-enioa + [naa 289, bx =r oran= doa, x =o = 88) ome vruay -Wo)= | vtae pa ‘ie VIR, = 0%, nin 1.1) pad vr m0 582 ent of ee tc Tien ~ a0 196. chy | AnympinteDiuon Toy ym = AN op 6%) SIEIUED Bh arora Sey ee Oo nat cd, Wulrdan = ear Past = #] SAA shoe Se 0 ps ee Lede, 8p hc i Sie gona Thee nan tpn ed oT FM, gusto di aT Ret tort 9 Ln Ve ka 8 cn Eun = RIE a ea | [AABN A EF OEE Asean pit er ae wih Y «Xan = ree ita = Ean eure" asi r= 2 stg om tre ae, ss iy th i ot me ee TDXRARI= 600) svn «ifaw. Sa Saran | = Bao avnrnie 333 3 mannan a 7 Baers 19H chap? | Arp Durbson There re he 95 ote Fy 15 Soe sec ye ei en 6 ome ri tS si a i se Deie 218) Caer FRerenses Mo ie a, CoS Panne Pay ‘ip a8 cr Aros Ps” A FC 1. er Sail fr Ap 24 68 New ‘dt 8 en Na an. Linear Regression Models ‘eps hy ne et onic crime in yee ‘Si Seen ee a tin oe ‘EI, Review of Ordinary Least Squares wih Determine Regressors and id. Gaustan Disturbances Spe hat airy ates a 1) seers aban ter na xb +m way ‘Enna dg raeaoa nei x poe cron dingo n. ‘sy en wi se ot pce hac ee maton nt hts ti sot dt he ‘The Algebraof Linear Regresion Given mined ape Jo toa ar prs O15) ciate ob ened 9) te ae ht mma ere oo Sames 38 nss= ¥ 0,- wpe. wat Weserin Append 4At0 Chet the OES ie gee by 2} [Ss] ws 08) & mia The O18 singe orn wos ‘ene model a (1.1 mien oma tin Mien ust tel

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