> X< 
0 > Xo 
Fig. 5.6. X, vs. X,,. 
Besides, when {X;,} 1s Gaussian, this process is called a ‘“‘Linear Markov Process” as 
will be explained in Part III. 
4 
Fig. 5.7. €,; VS. €:,. 
5.22.1 Green’s Function of AR(1). 
XxX; = €;+ aX} 
= €,+ a(E;_] + aX;_2) 
=: 
=€;+a €,1+-a" €pot-: +a Hey +aXo} 
t-1 
= y a’ €,,+a' Xo, (5.9) 
r=0 
If initially Xo=0, or X,=0 when r < 0, 
104 
