QUESTION 5(a) Distinguish a stochastic from a deterministic trend in time-series data.(b) Consider the following time-series process:Y; = Y;-1 + €t, with ɛ ~ N(0, o²) and t = 0, -.. ,T%3Di. Why is this process called a random walk?ii. Show that this process has time-dependent variance.

The deterministic trend is one that you can determine from the equation directly, for example for…

(a) Distinguish a stochastic from a deterministic trend in time-series data. (b) Consider the following time-series process: Y = Yt-1+ €t, with e ~ N (0, o²) and t = 0, · . · , T i. Why is this process called a random walk?

(a) Distinguish a stochastic from a deterministic trend in time-series data. (b) Consider the following time-series process: Y = Yt-1+ €t, with e ~ N (0, o²) and t = 0, · . · , T i. Why is this process called a random walk?

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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