Prove the squared coherence 2 yx () = 1 for all when yt = r= ar xtr, that is, when xt and

Prove the squared coherence ρ

2 y·x

(ω) = 1 for all ω when yt =

Õ∞

r=−∞

ar xt−r, that is, when xt and yt can be related exactly by a linear filter.