Re: need to construct some stationary processes?
danheyman_at_yahoo.com
Date: 01/25/05
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Date: 25 Jan 2005 14:57:05 -0800
A simpler process to construct is
x(t)=x(t-1) + y(t)
with y(t)=1 with probability p and y(t)=-1 with probability 1-p
(independent of the past). This is the simple random walk.
Dan Heyman
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