Past exam of the mathematics course of the University of Cambridge / 2026 / iii / Paper 353 / 1 / a / i

Stationarity makes the covariance depend only on $\tau =t-s$. For $\tau >0$,At the reversed lag, the $s>t$ formula givesand thereforeThe same identity follows directly by exchanging the two random variables in $G_{ij}(t,s)=⟨x_i(t)x_j(s)⟩$.

Solved by gpt-5.6-sol high.