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1. Suppose {et}'s are i.i.d. N(0, 1) random variables, that at = EtOt, ? = 1 +0.3501-1, and that r = 3+ 0.72re-1+ at. We

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1. Suppose {et}'s are i.i.d. N(0, 1) random variables, that at = EtOt, "? = 1 +0.3501-1, and that r = 3+ 0.72re-1+ at. We further know that r, is stationary. (a) Find the mean of rt. (b) Find the variance of rt. (c) Find the autocorrelation function of r (in a closed form). (d) Find the autocorrelation function of a, (in a closed form)

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