Question: =+29. Continuing Problem 28, demonstrate that Cov(Xt2 , Xt1 ) = e()(t2t1) Var(Xt1 ) for 0 t1 t2. (Hints: First show that Cov(Xt2

=+29. Continuing Problem 28, demonstrate that Cov(Xt2 , Xt1 ) = e(α−μ)(t2−t1) Var(Xt1 )

for 0 ≤ t1 ≤ t2. (Hints: First show that Cov(Xt2 , Xt1 ) = Cov[E(Xt2 | Xt1 ), Xt1 ].

Then apply Problem 28.)

8.9 Problems 215

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