Let be a Gaussian process with covariance function and define the process by Compute the covariance function of Is this process a Gaussian process? Is it stationary? A Gaussian process has...

Let

be a Gaussian process with covariance function

and define the process

by

Compute the covariance function of

Is this process a Gaussian process? Is it stationary?

A Gaussian process

has expectation zero, and covariance function

Determine the probability

as

How should you construct a process with this property, and what is its spectrum?