Derivation of the Infinite MA Representation ($Z_t = \sum \psi_j a_{t-j}$) for a Stationary AR(1) Process
Confusing the AR(p) coefficients (which describe dependence on past *values*) with the MA() coefficients (which describe dependence on past *shocks*). The stationarity condition is crucial for this infinite representation to converge.
Institutional Reference: Time Series Analysis
View Full Proof →