7.3 Verify (7.19) and (7.20) for the mean-squared prediction error MSE in (7.12). Use the orthogonality principle,

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7.3 Verify (7.19) and (7.20) for the mean-squared prediction error MSE in

(7.12). Use the orthogonality principle, which implies

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and gives a set of equations involving the autocovariance functions. Then, use the spectral representations and Fourier transform results to get the final result.

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