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I am using ETS (M,M,N) model, where:

Yt = Lt-1 * Tt-1(1 + ε_t)
Lt = Lt-1 * Tt-1 (1 +αε_t)
Tt = Tt-1(1+βε_t)

How can I check that yt+1 follows a normal distribution with mean Lt * Tt and

SD = Lt * Tt *σ^2 

by showing that

yt+1 = Lt * Tt + Lt * Ttε_(t+1) 

where

ε_(t+1)~N(0,σ^2 )

?

enter image description here

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  • $\begingroup$ You'll need to edit your question to show your what you've tried & where you're stuck & then we'll be able to help you get unstuck. $\endgroup$ – Sycorax Mar 30 at 3:51