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Consider the random walk model y_t = sum_{j=1}^{t} hetaepsilon_j + mu, heta in R where {{epsilon_t}} is a white noise process with variance sigma^2 < infty

a) How many parameters does this model have?

b) calculate E[y_t] and var(yt)

c) Compute Cov(y_t, y_s) for s eq t

d) Is this model weakly stationary?

math   Statistics-And-Probability   
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Answer #1

(b Co v 1ニ E/@s+ θΕ2t,..t O @). Van (%) d,pm donds t en Se that modol doss me weakly statioma

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