Consider the process de_ned by the equation where "t is a white noise sequence with zero-mean and variance _2. (a) Calculate the ACF of yt. (b) Obtain the best linear predictors P[fy1g]y2,...

Consider the process de_ned by the equation

where "t is a white noise sequence with zero-mean and variance _2.

(a) Calculate the ACF of yt.

(b) Obtain the best linear predictors P[fy1g]y2, P[fy1;y2g]y3

(c) Calculate the best linear predictors P[fy2g]y3 y P[fy2g]y1 and then

obtain corr(e3; e1) where e3 = y3 􀀀 P[fy2g]y3 y e1 = y1 􀀀 P[fy2g]y1.