Let Xt X + nt Y₁ = μ+t-1 Vet Zt = := with A, ER and where {et} {n} are independent white noise processes with {e} ~ WN(0, 0²), and {n}~ WN(0,02). Find ex- pressions for the following in terms of model parameters and where possible use notation of Kronecker-Delta functions: (c) cov(Zt, Yt-k), for all k.

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A:

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