J**********y
发帖数: 1891 | 1 请教一个toy 时间序列问题：
X0, X1, X2, is a time series,
We know that X1-X0 and X2-X1 follow independent N(0, 1).
X0 belongs to the information set F0.
X0 belongs to the information set F1, but X1 doesn't belong to F1,
i.e. X1 is not observable. Hence F1 only has information about X0.
Similarly, the information set F2 has information about X0 and X2, but
not X1.
What's E[X2-X0 | F1] ?
I computed it as follows:
E[X2-X0 | F1] = E[X2-X1 + X1-X0 | F1]= E[X2-X1 | F1] = E[E[X2-X1 |
F2 ] | F1]
=E[X2 - E[X1|F2] | |
|
