Find the m-step ahead forecast

Reference no: EM131028360

Consider the ARIMA(0,0,0) x (0,0,1)₂given by Y_t =V_t + aV_{t - 2} , where |a|t is the WN(0,s² )

i. Is this process invertible? Why? if it is, find the coefficients in the expansion V_t = ? c_j Y_{t - j} , j from 0 to 8.

ii. Find the m-step ahead forecast of Y_n+m ( and its variance) based on the infinite past.

Reference no: EM131028360

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