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Let xt be a stationary Gaussian process with mean µ and autocovariance function γh Define the nonlinear time series

Let xt be a stationary Gaussian process with mean µ and autocovariance function γh. Define

the nonlinear time series

yt = exp(xt)

Find the mean function, the autocovariance function and the autocorrelation function of yt. [Hint. You may

want to use the moment generating function of normal distributions.]  

Apr 16 2020 View more View Less

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