Neas-Seminars

equation on page 66


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By rh12 - 8/14/2011 2:42:45 PM

I don't understand how the author got the second last equation on page 66:

Gamma (k) = phi Gamma (k-1) + E [e (t) Y (t-k)]

Can someone explain this formula?

 
By dclevel - 9/13/2011 10:28:05 PM

Look at the autocovariance function and definition for covariance on page 11 and realize that we are assuming zero means.