New answers tagged moving-average
1
vote
Why can't a non-stationary AR process be represented as an infinite MA process?
Hi: if you derive the expression, then it's clearer why.
We have : $y_t = \phi y_{t-1} + \epsilon_{t}$.
Then, using the lag operator, we have:
$y_{t}(1 - \phi L) = \epsilon_{t}$.
But, if one tries to ...
- 2,875
Top 50 recent answers are included