Hey guys, first time taking a time series class, need some help!

Let { } be an IID sequence with mean 0 and variance . (I think this is White Noise)

Let { } be a stationary sequence with a covariance function . Then it says assume and are independent of each other.

Define .

Verify that for k ≥ 1 we have Cov( , ) = 0 and Cov( , ) ≠ 0, that is { } is a white noise but not IID.

So Im not sure how to define ? Its the product of white noise ( ) and some stationary sequence ( )?

Any help would be appreciated.