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Q174Section III (Statistics)174 of 190

A random walk's variance grows linearly, so only Xt/tX_t/\sqrt t has stable variance

Given a time series Xt=Xt−1+ZtX_t=X_{t-1}+Z_t, where X0X_0 is distributed like ZtZ_t and ZtZ_t's are iid N(0,σ2)N(0,\sigma^2). Which of the following statements is true?

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