Solution-Compute the variance and covariance

Compute the variance and covariance

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Reference no: EM131127656

Let {X_n}_n_∈N0 be a symmetric simple random walk. For n ∈ N the average of the random walk on the interval [0,n] is defined by

Is {A_n}_n_∈N0 a simple random walk (not necessarily symmetric)? Explain carefully using the definition.

Compute the covariance Cov(X_k,X_l) = E[(X_k- E[X_k])(X_l- E[X_l])], for k ≤ l ∈ N

Compute the variance of A_n, for n ∈ N.

Reference no: EM131127656

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Compute the variance and covariance

Reference no: EM131127656

Reference no: EM131127656

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