1. Limited time only! Sign up for a free 30min personal tutor trial with Chegg Tutors
    Dismiss Notice
Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Homework Help: Calculating covariance

  1. Jun 22, 2010 #1
    1. The problem statement, all variables and given/known data
    Find the Cov(X(t), X(t+s)) where X(t) = N(t+1)-N(t), where N(t) is a poisson process with parameter [tex]\lambda[/tex].

    2. Relevant equations

    3. The attempt at a solution
    X(t) should be poisson distributed with mean [tex]1\lambda[/tex] by stationary increments, and X(t+s) should be poisson distributed with mean [tex]\lambda[/tex]. This reduces to finding the covariance of 2 dependent poisson([tex]\lambda[/tex]) random variables (since X(t) and X(t+s) is dependent, so the answer isn't just = variance = [tex]\lambda[/tex]). Now what do I do?
  2. jcsd
Share this great discussion with others via Reddit, Google+, Twitter, or Facebook

Can you offer guidance or do you also need help?
Draft saved Draft deleted