Consider the first-order (stationary) Markov process where the εk are i.i.d. random variables with zero mean and (finite variance is independent of for every Show that is a zero-mean martingale....

Consider the first-order (stationary) Markov process

where the εk are i.i.d. random variables with zero mean and (finite variance

is independent of

for every

Show that

is a zero-mean martingale. Hence, or otherwise, verify that