simple MA/PhD (more PhD) level book problems.
For example, 6 questions
1, Findbest interporlator for X_(n+k) of the form X_hat_(n+k)=a X_n + b X_(n+N) where 1<=k=0} std brownian process. get covar function for X(t)=B(t+1)-B(t), t>=0, and show X(t) is strict stationry.
Please PM me for detail.