Q2. Suppose that time series {Xt} is an AR(1) process Xt = aXt1 + Wt, where 0 < a < 1 and Wt is normalized standard white noise with Wt N (0, 1). If we have observed X1 and X3, and we would like to estimate the missing value X2. Find the best linear predictor of X2, given X1 and X3.