Consider AR(1) process r = (e₁, te Z.) is white noise such that 21, with initial condition ro~ N(0,4), where N(0, 1). Assume that Cov(ro. )=0 for all t. + ~.

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Consider AR(1) process r₁ = √2-1 +5₁, 121, with initial condition ro~ N(0,4), where
(Et, te Z+) is white noise such that ,~ N(0, 1). Assume that Cov(ro, ) = 0 for all t.
1) Dark
2) Compute lim Cov(reT+2). Express your answer to four decimal places.
1-x
Transcribed Image Text:Consider AR(1) process r₁ = √2-1 +5₁, 121, with initial condition ro~ N(0,4), where (Et, te Z+) is white noise such that ,~ N(0, 1). Assume that Cov(ro, ) = 0 for all t. 1) Dark 2) Compute lim Cov(reT+2). Express your answer to four decimal places. 1-x
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