1. A random process is an infinite indexed collection of random variables. Here we will consider one specific example of a random process in which the random variables are indexed by the integers, specifically, the random process {X(n), n e Z}. The process that we consider is called a first-order Gauss-Markov random process, and it is defined in terms of another random process {W(n), ne Z} by the equation X(n) = pX(n-1) + W(n), n =..., -2, -1,0, 1, 2,... Here p ER, -1 < p < 1, all the random variables X(n) and W(n) are assumed to be zero-mean, all the W(n) are mutually independent and W(n) is independent of X(m), m