Consider the time series of Xt = Xt−1 + Wt, whereWt are i.i.d and Wt ∼...

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Consider the time series of Xt = Xt−1 + Wt, whereWt are i.i.d and Wt ∼ N (0, σ2 ) and X0 = 0. Let X¯ = 1 n Pn i=1 Xi . Derive the general form for var(X¯). (Hint: Pn i=1 i 2 = n(n+1)(2n+1) 6 )

Consider the time series of X-Xi-1+Wi, whereW are i.i.d and W N(0, σ2) and Xo 0. Let X = n Σ, Derive the general form for var(X). (Hint: Σ i- n(n+1)(2n+1))

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and xoo Z WU t-1 6 60

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Consider the time series of Xt = Xt−1 + Wt, whereWt are i.i.d and Wt ∼...