Exercise 3
Is a random walk stationary or not?
Hint: Derive the autocovariance function of a random walk process. Does it depend on particular time points, say \(s\) and \(t\) or time seperation or lag?
Is a random walk stationary or not?
Hint: Derive the autocovariance function of a random walk process. Does it depend on particular time points, say \(s\) and \(t\) or time seperation or lag?