Question: Suppose x t = x t1 + e t where {et} is strict white noise. a) If || < 1, is {x t } a

Suppose xt = xt1 + et where {et} is strict white noise.

a) If || < 1, is {xt} a martingale? Justify your answer.

b) If = 1, is {xt} a martingale? Justify your answer.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Mathematics Questions!

Q:

A vector in free space is given as A=(z+8 z)i + (6 y z)j + (x + 24 x z + 12 y z)k Find the curl of the vector (x) at point (1,1,1) A scalar function in free space is given as f(x, y, z)=xz + 10 x z +...

Q:

You are trying to pick the least - expensive car for your new delivery service. You have two choices: the Scion xA , which will cost $ 2 1 , 0 0 0 to purchase and which will have OCF of $ 2 , 6 0 0...

Q:

can someone solve this Modern workstations typically have memory systems that incorporate two or three levels of caching. Explain why they are designed like this. [4 marks] In order to investigate...

Q:

Suppose x t = x t 1 + t where t = e t + e t 1 e t 2 , 0, and {e t } is strict white noise. a) What is the best linear predictor of x n+1 based on x n , x n 1 , . . . ? Justify your answer. b) What is...

Q:

The Basics of Financial Mathematics Spring 2003 Richard F. Bass Department of Mathematics University of Connecticut c These notes are 2003 by Richard Bass. They may be used for personal use or class...

Q:

Recall that { xt } is a martingale if E [ xn + h Recall that {x,} is a martingale if E[x,,+h Ix" ,xn_1, - - ' ]=x,, for all n and for all lead times I: >0. Actually, to establish that {x,} is a...

Q:

Recall that {x,} is a martingale if E [xn+h Ix\" ,x,,_1, ' ' ' ]=xn for all n and for all lead times it >0. Actually, to establish that {x,} is a martingale, one simply needs to prove the above...

Q:

(a) In SystemVerilog, what is the difference between: (i) The ternary operator ? and if...then...else statements? [2 marks] (ii) always_ff and always_comb? [2 marks] (iii) Blocking, non-blocking and...

Q:

Time Series Data Mining: A Case Study With Big Data Analytics Approach ABSTRACT Time series data is common in data sets has become one of the focuses of current research. The prediction of time...

Q:

applytuio a) SoC design involves dividing work between hardware and software as well as deciding the number of general-purpose and custom processors and co-processors to be used. What main factors...

Q:

Montclair Company is considering a project that will require a $650,000 loan. It presently has total liabilities of $145,000 and total assets of $695,000. 1. Compute Montclair's (a) current...

Q:

Identify and explain the impact of at least four factors that have encouraged global U.S. bank expansion.

Q:

Which activity is accomplished as part of the monitoring and controlling process? Assessing project quality Creating the network diagram Completing the lessons learned review Completing the project...

Q:

A survey conducted in July 2015 asked a random sample of American adults whether they had ever used online dating (either an online dating site or a dating app on their cell phone). 55- to...

Q:

Health Services Management reference cited needed Define culture and ethics and describe their relevance to the management of healthcare organizations.

Q:

What accounts are subject to adjusting journal entries and why? How would you explain the purpose of the adjusted trial balance?

Q:

Consider a Cobb-Douglas production function given by Consider a particular iso curve of function Q (K, L) with implicit function L = g (K) that pass through (K, L) = (1, 1). Compute the slope of the...

Q:

The 2.5 kg , 5.6-cm-diameter disk is rotating as shown in (Figure 1) . Part A What is the angular momentum of the disk about the axle? Express your answer to two significant figures and include the...

Q:

Determine if the overhead allocated to the product relates to a single plantwide overhead rate method, multiple production department factory overhead rate method, or activity-based costing...

Q:

The Four Pairs of questions for gathering information are based on which of the following sets of words? a. Personality, attitude(s), circumstances, knowledge b. Same/different, whole/parts,...

Q:

Which of the following is not good advice for interviewing? a. Prepare for the interview by reading and by listing questions. b. Dont be distracted from your list of questions by the interviewees...

Q:

Unless you have a good reason otherwise, how should bad-news responses begin? a. With background information b. With the bad news c. With an acknowledgment of the request d. With any qualifications...