Question: Let {Yt} be a stationary process with k = 0 for k > 1. Prove that |1| 1/2. (Hint: Consider Var(Yn+1 + Yn + Y1)

Let {Yt} be a stationary process with k = 0 for k > 1. Prove that |1| 1/2. (Hint: Consider Var(Yn+1 + Yn + Y1) and Var(Yn+1 Yn + Yn1 + Y1), and use the fact that both variances must be nonnegative for all n.)

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