6.2 Consider the state-space model presented in Example 6.3. Let xt−1 t =

E(xt|yt−1, . . . , y1) and let Pt−1 t = E(xt − xt−1 t )2. The innovation sequence or residuals are t = yt − yt−1 t , where yt−1 t = E(yt|yt−1, . . . , y1).

Find cov(s, t) in terms of xt−1 t and Pt−1 t for (i) s = t and (ii) s = t.