equation on page 66


equation on page 66

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rh12
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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?

 


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