Exercise 6.9.10. Let yt and wt be two second-order stationary processes and suppose that fw( ) fy( ) for all [,]. Show

Exercise 6.9.10. Let yt and wt be two second-order stationary processes and suppose that fw(ν ) ≤ fy(ν ) for all ν ∈ [−π,π]. Show that

Σyy−Σww is nonnegative definite, where Σyy and Σww are the covariance matrices of

(y1, · · · , yn) and (w1, · · · ,wn), respectively.