Let y = x + z and x = f x + w where z ~ N(0,
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Question:
Let y
= x
+ z
and x
=
f
x
+ w
where z
~ N(0,
) and w
~ N(0,
). Assume
t
t
t
t
t-1
t
t
t
#
!
that z (white noise) and w (white noise) are independent, find ACF of y
. (Hint: rewrite AR(1) as an
t
infinite series of w's)
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