Question: Let {y,: t = 1, 2, ...} follow a random walk, as in (11.20), with y0 = 0. Show that Corr(yt, yt+h) = /for t

Let {y,: t = 1, 2, ...} follow a random walk, as in (11.20), with y0 = 0. Show that Corr(yt, yt+h) = /for t > 1, h > 0?

Let {y,: t = 1, 2, ...} follow a random

tt+ h)

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