RDP 8601: Classical Models and Unobserved Aggregates
Equation (25)
var
{
B
t
−
t
−
1
B
t
)
}
=
σ
η
2
var
(
z
t
−
t
−
1
z
t
}
=
φ
2
σ
2
+
σ
υ
2
cov
{
(
B
t
−
t
−
1
B
t
)
,
(
z
t
−
t
−
1
z
t
)
}
=
0
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