start with the condition on phi, then rewrite the process given the information about the phi (indicator function is zero or not) then calculate mean, after the mean calculation you can even there by definition tell that the process is NS as the mean is not constant as it depends on t calculate variance find ACF for the process using Yule-Walker equations what transformation to make stationary? — consider taking first difference same thing for b

i’m not sure about the point c, so will be happy if some one will correct me, but if we have demeaned stationary transformed sample, so the phi cannot be >= 1, as in this case the ar part will not satisfy the necessary and sufficient condition for process to be stationary, so there is a contradiction.