6.11 Let {Xt} be a stationary process with mean zero and spectral density function g() = (1/2)|1 0.3 ei|2. Compute the prediction error PE(g,

6.11 Let {Xt} be a stationary process with mean zero and spectral density function g(λ) = (1/2π)|1 − 0.3 eiλ|2. Compute the prediction error PE(g, f)

((6.199)) of predictor (6.198) constructed on the basis of incorrectly conjectured spectral density f(λ) =

1 2π

¯¯1

−

(

0.3 +

θ)eiλ +

0.3 θ

ei2λ

¯¯

2

, (|θ| < 1) (6.537)

and confirm lim|θ|↗1 PE(g,

f) = ∞.