Question: Let wt be white noise with variance 2 w and let || < 1 be a constant. Consider the process x1 = w1, and xt

Let wt be white noise with variance σ2 w and let |φ| < 1 be a constant.

Consider the process x1 = w1, and xt = φxt−1 + wt, t = 2, 3, . .

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