3.2 Let {w_t ; t = 0, 1, . . . } be a white noise process with variance ²w

and let || < 1

be a constant. Consider the process x₀ = w₀, and

x_t = x_t-1 + w_t, t = 1, 2, . . . .

We might use this method to simulate an AR(1) process from simulated white noise.