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QUESTION
ARMA(2,1) model Y, = Yf-1 -Yt-2 + Et + 26t-1 with Gaussian white noise E, ~ N(0, 1). What's the joint distribution of (Y1, Y2, Y3)?
time series analysis, joint distribution of arma models
how to solve
ARMA(2,1) model Y, = Yf-1 -Yt-2 + Et + 26t-1 with Gaussian white noise E, ~ N(0, 1).What's the joint distribution of (Y1, Y2, Y3)? Give the parameters of the distribution.