Question
Assume that Yt is a random walk Yt = Yt-1 + epsilon(t), t = 1,2,.... with the initial value Y0 = 0 where epsilon(t) is
Assume that Yt is a random walk
Yt = Yt-1 + epsilon(t), t = 1,2,....
with the initial value Y0 = 0 where epsilon(t) is a white noise with zero mean and variance sigma-epsilon-square
a) show that E(Yt) = 0
b) Var(Yt) = t(sigma-epsilon-square)
c) Cov(Yt, Yt-s) = min(t,s)(sigma-epsilon-square)
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Algebra
Authors: Marvin L Bittinger
12th Edition
0321922913, 9780321922915
