Let (Y_{0}, Y_{1}, ldots) be a sequence of independent random variables, which are identically distributed as (N(0,1)).

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Let $Y_{0}, Y_{1}, \ldots$ be a sequence of independent random variables, which are identically distributed as $N(0,1)$. Are the stochastic sequences $\left\{X_{0}, X_{1}, \ldots\right\}$ with

(1) $X_{n}=\sum_{i=0}^{n} Y_{i}^{2}$

(2) $X_{n}=\sum_{i=0}^{n} Y_{i}^{3}$

(3) $X_{n}=\sum_{i=0}^{n}\left|Y_{i}\right| ; n=0,1, \ldots$, martingales?

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Applied Probability And Stochastic Processes

ISBN: 9780367658496

2nd Edition

Authors: Frank Beichelt

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Question Posted: Apr 26, 2024 04:01 PM

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Let (Y_{0}, Y_{1}, ldots) be a sequence of independent random variables, which are identically distributed as (N(0,1)).

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Applied Probability And Stochastic Processes

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