EXERCISE 2 - Let: Xt - u =$ (Xt-1 -H) +Et Et ~WN(0, G2) with: =-1.81 = -0.89 02 = 3.03 We = X:-1 a) Compute the expectation of W. b) Compute...

Hello, I'm studying AR(1) processes and I have this exercise to do, a simulation test, which I can't do because I don't know .

I hope someone can help me. An explanation will be very welcome

EXERCISE 2 - Let:Xt - u =$ (Xt-1 -H) +EtEt ~WN(0, G2)with:" =-1.81= -0.8902 = 3.03We = X: - X:-1a) Compute the expectation of W.b) Compute the variance of W.c) Compute Corr(We, We-1)d) Compute Cov(Wt, W.-4)e) Compute Corr(We, We-4)