Question: Let us examine the behavior of the variance update in Equation (15.20). a. Plot the value of Ï 2 t as a function of t,

Let us examine the behavior of the variance update in Equation (15.20).

a. Plot the value of σ2t as a function of t, given various values for σ2x and σ2z.

b. Show that the update has a fixed point σ2 such that σ2t †’ σ2 as t†’ˆž, and calculate the value of σ2.

c. Give a qualitative explanation for what happens as σ2x †’ 0 and as σ2z †’ 0.


Equation (15.20)

(0? + o)o? Oi+1 (o? + o)24+1 + oži of + o?+o? and Ht+1 o? + o?+ o?

(0? + o)o? Oi+1 (o? + o)24+1 + oi of + o?+o? and Ht+1 o? + o?+ o?

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a See Figure S1 53 b We can find a fixed point by solving for 2 Using the quadratic formula ... View full answer

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