{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "\n", "\n", "
[1] The eigenvalues of $ A $ are $ (1,-1, i,-i) $.\n", "\n", "
[2] The correct way to argue this is by induction. Suppose that\n", "$ x_t $ is Gaussian. Then [(1)](#equation-st-space-rep) and\n", "[(10)](#equation-lss-glig) imply that $ x_{t+1} $ is Gaussian. Since $ x_0 $\n", "is assumed to be Gaussian, it follows that every $ x_t $ is Gaussian.\n", "Evidently this implies that each $ y_t $ is Gaussian." ] } ], "metadata": { "date": 1591310628.7531135, "download_nb": 1, "download_nb_path": "https://julia.quantecon.org/", "filename": "linear_models.rst", "filename_with_path": "tools_and_techniques/linear_models", "kernelspec": { "display_name": "Julia 1.4.2", "language": "julia", "name": "julia-1.4" }, "language_info": { "file_extension": ".jl", "mimetype": "application/julia", "name": "julia", "version": "1.4.2" }, "title": "Linear State Space Models" }, "nbformat": 4, "nbformat_minor": 2 }