Xt is a time series with the equation below:
Xt = 𝛿 + 1/π (Xt-1)+ Zt t = 0,±1,±2, · · ·
where {Zt} ∼ WN(0, 1) and Zt is uncorrelated with Xs for each s < t.
I tried writing the expression of the mean; Is it correct?
1 > The expression of the mean μx = E[Xt] is
E[Xt] = 𝛿 + 1/π E[Xt-1]
2 > Also I'm trying to write the equation of mean of the time series {Xt}.
How to find the variance expression of the variance σ^2X = V(Xt).
