QUESTIONConsider the following stationary process1/2Xt = Oyt-1 + Yt,Yt = (a+ By-1) z4,with |0| < 1, a > 0,0< B<1 and {z} is an i.i.d. N(0,1) sequence.(a) Determine the mean of {Yt}.(b) Determine the autocovariance function of {y,}.Hint: Recall that if X and Y are random variables, then E[g (X)] = E{E[g(X)|Y]}.

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Answered: Consider the following stationary…

A First Course in Probability (10th Edition)

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Consider the following stationary process 1/2 Xt = Oyt-1 + Yt, Yn = (a+ By-1)" z, with |0| < 1, a > 0, 0 < B<1 and {z} is an i.i.d. N (0, 1) sequence. (a) Determine the mean of {yt}. (b) Determine the autocovariance function of {yt}.