Question: Suppose that 1 , 2 , . . . is a Gaussian white noise process with mean 0 and variance 1, and a t and

Suppose that1,2,... is a Gaussian white noise process with mean 0 and variance 1, andat andyt are stationary processes such that at=tt wheret2=2+0.3at12,

and yt=2+0.6yt1+at (a) What type of process is at? (b) What type of process is yt? (c) Is at Gaussian? If not, does it have heavy or lighter tails than a Gaussian distribution? (d) What is the ACF of at? (e) What is the ACF ofat2 ? (f) What is the ACF of yt?

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