Question: Let X1, . . . be independent with common mean and common variance 2, and set Yn = Xn + Xn+1 + Xn+2. For

Let X1, . . . be independent with common mean μ and common variance σ2, and set Yn = Xn + Xn+1 + Xn+2. For j ≥ 0, find Cov(Yn, Yn+j).

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