An AR(1) processAn AR(1) process with iid noise can be expressed as an observation driven model.

An AR(1) process An AR(1) process with iid noise can be expressed as an observation driven model. Suppose {Yt} is the AR(1) process Yt= ??Yt??1 + Zt , where {Zt} is an iid sequence of random variables with mean 0 and some probability density function f(x). Then with Xt:= Yt??1 we have p(yt|xt ) = f (yt?? ??xt ) and

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