Question: Let 5xt : t 5 1, 2, p6 be a covariance stationary process and define gh 5 Cov1xt , xt1h 2 for h $ 0.

Let 5xt

: t 5 1, 2, p6 be a covariance stationary process and define gh 5 Cov1xt

, xt1h 2 for h $ 0.

[Therefore, g0 5 Var1xt 2.] Show that Corr1xt

, xt1h 2 5 gh/g0.

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