Exercise 9.6

The new signal Zi has to components: Xi and wi.
μ has components α and 0, F is a matrix with element F11 = φ, Fij=0 otherwise.
Also, G is a vector with components Gj=1 for j=1,2, and the noise wi stays the same.
Finally, H = (1,β) with β = ρ(R/Q)1/2, and the new noise εi has variance (1-ρ2)R, and is independent of wi.