Let x t be a stationary Gaussian process with mean and autocovariance function h .

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.]