In the case where are i.i.d. random variables, then Now, what if are identically distributed, but no longer independent. What if we have an autoregressive process? Assume that Then can be written Here, we will express the variance as a function of and , but it is possible to use also , since, in the context of an , Now, since we get which can be simplified, since i.e. So, the variance of the mean can be…