Statistics

*To*: mathgroup at smc.vnet.net*Subject*: [mg18421] Statistics*From*: "Roberto Diego" <r-diego at develnet.es>*Date*: Wed, 7 Jul 1999 00:11:15 -0400*Sender*: owner-wri-mathgroup at wolfram.com

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: data=Table[NestList[#+(1/100)*Random[Integer,{-1,1}]&,30,1000]]; this simulates the levels of the variable, now: rendata=Table[Log[data[[i+1]]/data[[i]]],{i,1,1000}]; 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