Hi. I am confused about this question. I have already got the autocovariance function for this time series but I do not know how to calculate the spectral distribution function. My TA told me to use Lebesgue integral but I am not sure how to use this method. Could somebody help me? Thanks !!

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Jason

7. Let {Xt} be the process dened by X: = A cos(7rt/3) + B sin(7rt/3) + Yt, where Y; = Z; + 2.5Zt_1, {Zt} - WNW, 02), A and B are uncorrelated with mean 0 and 2 variance 1) , and Z1: is uncorrelated with A and B for each t. Find the autocovariance function and spectral distribution function of {Xt}