If two series may be represented in ????-weight form as

???????? = ????????(????)???????? ???????? = ????????(????)????�

(a) Show that their cross-covariance generating function ????????????(????) = ∑∞
????=−∞
????????????(????)????????
is given by ????2 ????????????(????)????????(????).

(b) Use the above result to obtain the cross-covariance function between ???????? and ????????
when ???????? = (1 − ????????)???????? ???????? = (1 − ????′
1???? − ????′
2????2)????????