1. 

   tharandeep Member

   Hi, could somebody show me how to find E(y(t)) and Var(y(t)) for the following AR(1) model:
   
   y(t) = a(0) + a(1)y(t−1) + e(t)
   
   Thanks in advance

    

   tharandeep, May 19, 2009

   #1
2. 

   John Potter ActEd Tutor Staff Member

   Try writing out as a series and then consider the mean and variance of all the a's and white noise terms. You will probably need to use the sum of a GP formula,
   
   Good luck!
   John

    

   John Potter, Jun 20, 2009

   #2

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