Let f"tg be a sequence of independent identically distributed random
variables with zero-mean and variance _2. Is the sequence fyt : t 2 Zg de_ned
by yt = "t+"t1+"t2 "t3 a linear process? Is the process yt = "t+"t1+"t3
causal?
Can a stationary process be non-causal? Discuss.
Let the process fyt : t 2 Zg be de_ned by yt = _ yt1 +"t where f"tg is
a sequence of identically distributed Student t random variables with _ = 2
degrees of freedom. Is this process second order stationary?
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