Question: 4. Suppose that 1 , 2, . . . is a i.i.d. Gaussian white noise process with mean 0 and variance 1, and at and

4. Suppose that 1 , 2, . . . is a i.i.d. Gaussian white noise process with mean 0 and variance 1, and at and at are stationary processes such that 2 2 at = 0351, where 0': = on + \"1311: \"-"t. I H + {Wt1 + 1'1:- a What type of process is at? ( (b What type of process is art? ) ) (c) What type of process is (1?? (d) Is the (unconditional) distribution of (1; Gaussian? ) (e (4 pts) Suppose (10 = 2, or] = 0.3. Find the value of Cov(at_1, r13\")

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