Consider the time series model ???????? = ????0 + ???????? where ???????? follows the AR(1) model

???????? = ????????????−1 + ????????. Assume that a series of length ???? is available for analysis.

(a) Assuming that the parameter ???? is known, derive the generalized least-squares estimator of the constant ????0 in this model.

(b) Repeat the derivation in part (????) assuming that ???????? follows the seasonal AR model

???????? = ????4????????−4 + ????????.