RDP 8601: Classical Models and Unobserved Aggregates
Equation (A7)
σ
2
=
{
2
φ
2
(
σ
μ
2
+
σ
d
2
)
}
−
1
{
(
φ
2
−
1
)
σ
d
2
σ
μ
2
−
σ
ν
2
(
σ
μ
2
+
σ
d
2
)
±
[
(
φ
+
1
)
2
σ
d
2
σ
μ
2
+
σ
ν
2
(
σ
μ
2
+
σ
d
2
)
}
{
(
φ
−
1
)
2
σ
d
2
σ
μ
2
+
σ
ν
2
(
σ
μ
2
+
σ
d
2
)
}
}
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