Timeline for Autocovariance of time integrated Ornstein–Uhlenbeck process
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 17, 2020 at 13:52 | comment | added | Appliqué | @Iván If you plug in $\tau=0$ you do not get the expression for the variance in your post | |
| Dec 14, 2016 at 9:53 | comment | added | Iván | Thank you very much. If anyone needs the results $Cov(Y_t, Y_{t+\tau})= \frac{\sigma^2}{2 \theta^3}( -e^{-\sigma (2t+\tau)} - 2 e^{-\theta t} + 2 e^{-\theta (t+\tau)} -2 - e^{-\theta \tau} + 2t\theta )$ | |
| Nov 28, 2016 at 13:13 | vote | accept | Iván | ||
| Nov 18, 2016 at 2:45 | history | answered | Nate Eldredge | CC BY-SA 3.0 |