MathGroup Archive 1999

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  • To: mathgroup at
  • Subject: [mg18421] Statistics
  • From: "Roberto Diego" <r-diego at>
  • Date: Wed, 7 Jul 1999 00:11:15 -0400
  • Sender: owner-wri-mathgroup at

I'm a little ashamed for posting this simple (not for me) question to the
impresive intelectual power out there, especialy because I guess there must
be a simple answer. I feel fustrated as I can't get there.

The question is:

I think there must exist an expression for the variance of a random time
series in wich each element equals the previous plus a fixed (1/100)
quantity times a uniform random variable in the range {-1,1}. I construct
the series using:


this simulates the levels of the variable, now:


convert the levels to rates of change.

What I'm looking for is an expression for the variance of rendata as a
function of the starting point in the level (30 in the above case) and a
step size (1/100).

Thanks a lot

Roberto Diego

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