Suppose that Xt , t ∈ Z are i.i.d. and real-valued, whose components are also i.i.d. with mean 0, variance 1, and finite fourth moment. Show that this is a special case of the linear process (16.71), for which C(0) = Ip and C(u) = 0 for u > 0, where C(u) = E(Xt+uX



t ) is the (matrix-valued) autocovariance function.