innovation, Mathematics

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In the innovations algorithm, show that for each n = 2, the innovation Xn - ˆXn
is uncorrelated with X1, . . . , Xn-1. Conclude that Xn - ˆXn is uncorrelated with
the innovations X1 - ˆX1, . . . , Xn-1 - ˆXn-1.

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