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2. Let X₂ = 8 + Xt-1 + Wt-1, for t=1,2,...., with Xo=0, where {W}^WN(0,0²). Note when the drift term (8) is zero, X is a random walk. We can also write X₁ = St + Σ₁=1 W₁, t = 1,2 ... a) Derive μx (t) and yx (t + h, t) b) Is {X} stationary? Why/Why not?

2. Let X₂ = 8 + Xt-1 + Wt-1, for t=1,2,...., with Xo=0, where {W}^WN(0,0²). Note when the drift term (8) is zero, X is a random walk. We can also write X₁ = St + Σ₁=1 W₁, t = 1,2 ... a) Derive μx (t) and yx (t + h, t) b) Is {X} stationary? Why/Why not?

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
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2. Let X = 8 + Xt-1 + Wt-1, for t=1,2,..., with Xo=0, where {W}~WN(0,0²). Note when the drift term (8) is zero, X is a random walk. We can also write X₁ = St + Σ=₁W₁, t = 1,2... i=1 a) Derive μx (t) and yx (t + h, t) b) Is {X} stationary? Why/Why not?
Transcribed Image Text:2. Let X = 8 + Xt-1 + Wt-1, for t=1,2,..., with Xo=0, where {W}~WN(0,0²). Note when the drift term (8) is zero, X is a random walk. We can also write X₁ = St + Σ=₁W₁, t = 1,2... i=1 a) Derive μx (t) and yx (t + h, t) b) Is {X} stationary? Why/Why not?
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Let X subscript t equals delta plus X subscript t minus 1 end subscript plus W subscript t minus 1 end subscript, for t equals 1 comma 2 comma...... comma with X subscript 0 equals 0 where open curly brackets W subscript t close curly brackets tilde W N open parentheses 0 comma space sigma squared close parentheses.

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