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  3. suppose that xt = wt + kwt?1 + kwt?2 + kwt?3 + ·

Suppose that xt = wt + kwt?1 + kwt?2 + kwt?3 + · · ·...

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Basic Math

Suppose that xt = wt + kwt?1 + kwt?2 + kwt?3 + · · · + kw0, fort > 0, k constant, and wi iid N(0, ?2w).

(a) Derive the mean and autocovariance function for {xt}. Is{xt} stationary?

(b) Derive the mean and autocovariance function for {?xt}. Is{?xt} stationary?

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