Question: Let Yt et be i.i.d. and Xt Yt . (a) Show that Yt is stationary and I (0). (b) Show that Xt is

Let Yt Æ et be i.i.d. and Xt Æ ¢Yt .

(a) Show that Yt is stationary and I (0).

(b) Show that Xt is stationary but not I (0).

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