Let us recall the modelization of an AR process.
By multiplying the two members by XK−l and by taking the expectations, it becomes:
As BK is a white noise and unique BK is dependent on XK.
Thus, by stating:
By noting a0 = 1 and by using the matrix expression, this becomes:
For an AR process of order 1, let the following AR process be XK = −a XK−1 + BK where BK is a centered white noise of variance .
The problem consists ...