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

2) Show that for any fixed k, the autocorrelation function of Yt has property:

rho k -> 1, as t -> infinity