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So, I have this function: $$ y_t=v_t+\rho v_{t-1}+\rho^2 v_{t-2}+\dots+\rho^{t-1}v_1+\rho^ty_0 $$

And I want to find the variance (and after that the covariance, but I should be able to do that..). I know that the variance is: $ Var[y_t]=\frac{var[v]}{1-\rho^2}=\frac{\sigma^2_v}{1-\rho^2} $

But somewhere I mess everything up : (

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    You used the F-word! Not that it bothers me much, but others here are more easily offended... (suggestion: replace it with *mess*). Also, try to fix your latex (you probably want to write `v_{t-1}` to get $v_{t-1}$).2011-04-04
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    This is to second Theo's comments and to signal that the question has no simple answer unless one specifies the dependence structure of $(v_t)$. Is $(v_t)$ an independent sequence? Also you say you want to find the variance but you already know what the variance is? Maybe you want to *understand how one can* find the variance.2011-04-04
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    @user9079: I tried to fix your displayed equation, but I don't know if the result is the intended result. To get a compound exponent/index, enclose the entire exponent/index in curly brackets. That is, to get $v_{t-2}$, type `v_{t-2}`, and not `v_t_-_2`.2011-04-04
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    Oh, I am sorry! I am used to another version of LaTeX where you can use _ everytime. And about the swearing, I am even more sorry. I come from a culture where swearing is very common. To @Didier: You are spot on in every comment. This is what happens with too much coffee, too little IQ and too hard classes. Sorry. To @Arturo Magidin thank you for correcting it! You guys are nice! I guess this is why I usually do social science, if you don't know the answer, you just write something that sounds smart..2011-04-06
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    @Eirik What a piece of advertisement for *social science*... :-) What is your specific field?2011-04-06
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    Did you get something from the solution below?2011-04-11

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