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Variance of following process
I got stuck to find the variance of the following AR(1) process. It looks really simple but I just can't solve it.
The process is
$x_{t+1}$ = a + b$x_{t}$ + c$\sqrt{x_{t}}$$\epsilon_{t+1}$
where $...
- 31
1
vote
1
answer
721
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Conditional variance of simple random walk
Let $\{X_i \mid i \in \mathbb{N} \}$ be a sequence of independent and identically distributed random variables with probability mass function given by:
$$
P(X_i = x)=
\begin{cases}
p, & \text{if }...
- 1,049