Consider the time series Consider the time series of Xt Xt-1 + Wt, where Wt ~...

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Consider the time series Consider the time series of Xt Xt-1 + Wt, where Wt ~ N(0, σ2) and Xi. Derive the general form for var(X). (Hint: i=1 5 ? -n(n+1)(2n+1)

math Statistics-And-Probability

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Answer 1

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A-1 1F4 m2 Σι n-I+1 71 厂2 n(n +1](2n +1) (n+1](2n+1 2

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