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