Question: Let Wn be an IID sequence of zero- mean Gaussian random variables with variance . Define a discrete- time random process, X[ n] = pX[

Let Wn be an IID sequence of zero- mean Gaussian random variables with variance . Define a discrete- time random process, X[ n] = pX[ n – 1]+ Wn, n = 1, 2, 3, … where X[ 0] = W0 and is a constant.
(a) Find the mean function, µX[n].
(b) Find the autocorrelation function, RX, X [n1, n2].

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