Question: Let Xt = 10 + Wt 0.8Wt1, t = 1, 2, 3, where Wt is i.i.d. N (0, 2), where 2 = 4. 1. Compute

Let Xt = 10 + Wt 0.8Wt1, t = 1, 2, 3, where Wt is i.i.d. N (0, 2), where 2 = 4. 1. Compute E(Xt) and V ar(Xt). (5 points) 2. Find the correlation between Xt and Wt1. (5 points) 5

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Let Xt = 10 + Wt 0.8Wt1, t = 1, 2, 3, where Wt is i.i.d. N (0, 2), where 2 = 4. 1. Compute E(Xt) and V ar(Xt). (5 points) 2. Find the correlation between Xt and Wt1. (5 points) 5

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