Derive three step-ahead forecasts for an ARMA(1,1) model at the forecast origin h (for a
general positive integer h), i.e, compute rh+3|h = rh(3) = E(rh+3|Ih), where
rt = 0 + 1rt1 + at 1at1 with at is iid (0,2a).
three-step ahead ARIMA forecast
Derive three step-ahead forecasts for an ARMA(1,1) model at the forecast origin h (for a
general positive integer h), i.e, compute rh+3|h = rh(3) = E(rh+3|Ih), where
rt = 0 + 1rt1 + at 1at1 with at is iid (0,2a).