Exercise 20.1.9 Consider a stationary process { Xt } with known mean and autocovariances. Derive the optimal

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Exercise 20.1.9 Consider a stationary process { Xt } with known mean and autocovariances.

Derive the optimal linear prediction a0 +a1Xt +a2Xt−1 + · · · + atX1 in the mean-square-error sense for Xt+1. (Hint: Exercise 6.4.1.)

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