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发帖数: 1891 | 1 请教一个时间序列问题：
X0, X1, X2, is a time series,
We know that X1-X0 and X2-X1 follow independent N(0, 1).
并且满足如下条件：
X0 belongs to the information set F0.
X0 belongs to the information set F1, but X1 doesn't belong to F1,
i.e. X1 is not observable. Hence F1 only has information about X0.
Similarly, the information set F2 has information about X0 and X2, but
not X1。
What's E[X2-X0 | F1] ?
我如下计算大家看看对吗？
E[X2-X0 | F1] = E[X2-X1 + X1-X0 | F1]= E[X2-X1 | F1] = E[E[X2-X1 |
F2 ] | F1]
=E[X2 - E[X1|F2] | F1]
=E[ |
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