Recovery of the correlation function for a stationary case of a discrete-time stochastic process (Q1912437)

Let \(\xi (t)\) and \(\eta (t)\) be discrete stationary processes such that \(\eta (t) = a \xi (t) - b \xi (t - 1)\). Assume that \(|a |\neq |b |\), \(ab \neq 0\), and that \(\eta (t)\) are uncorrelated variables. Define \(\rho = a/b\) if \(|a/b |< 1\) and \(\rho = b/a\) if \(|b/a |< 1\). The authors prove that the covariance function of the process \(\xi (t)\) is \(B(n) = \text{const} \times \rho^n\) for \(n \geq 1\).