RDP 8601: Classical Models and Unobserved Aggregates
Equation (26)
cov
{
y
t
,
E
t
−
1
(
M
t
−
M
t
−
1
)
}
=
−
(
α
/
(
1
+
α
)
)
φ
{
(
(
σ
/
σ
μ
)
2
)
+
(
(
σ
/
σ
d
)
2
)
}
x
{
(
1
−
(
(
σ
/
σ
μ
)
2
)
−
(
(
σ
/
σ
d
)
2
)
)
(
φ
2
σ
2
+
σ
ν
2
)
−
σ
2
}
=
0
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