Time Series #1

What is formula for Gaussian white noise

εt + ∆t = Random shock

∆t = Lenght of the time interval

How does Gaussian white noise looks like

What do weak stationarity condition mean in Gaussian white noise (3)

Constant mean, constant variance and constant autocovariance

What is Geometrical Brownian Motion Formula

µ.. expected annual growth rate

How does Geometric Brownian Motion looks like

How does mean reverting look like

What is the formula for mean reverting

where φ = speed of mean revertion

How do one and many Gaussian random walk observation look like

What is stochastical process and what is realization

Stochastic process = all possible outcomes that a mathematical model can generate {Yt}

Realization = One particular sequence of outcomes that actually occurs {yt}