Question

4. Let {X} be an MA(1) process described by the equation Xt = =Zt +0.5Zt-1 where Z~WN (0, 1). What is the value of the minimal MSE linear predictor of X12 if it is known that Xt = 1for t = 1,..., 10? Hint: recall that any MA(1) process is 1-correlated and zero-mean.

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