![We have the following state space model to model the movement of an asset return. The state
vector: xt=[x1(t)x2(t)] The initial values of states at t=0 are assumed to be the following
distributions: x1(0)N(0,0)x2(0)N(3,1) The state equation: xt=[100.21]xt1+[01]vt1 Where vtN(0,1)
and elements of vt are mutually independent$ What is the variance-covariance matrix for x1 and x
2 at t=1 ? [0.20.10.11][0.20.10.12][0.40.20.22][0.40.20.21]](https://image.slidesharecdn.com/wehavethefollowingstatespacemodeltomodelthemovemen-230322025339-4f3f7e88/85/We-have-the-following-state-space-model-to-model-the-movemen-pdf-1-320.jpg)
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We have the following state space model to model the movemen.pdf
- 1. We have the following state space model to model the movement of an asset return. The state vector: xt=[x1(t)x2(t)] The initial values of states at t=0 are assumed to be the following distributions: x1(0)N(0,0)x2(0)N(3,1) The state equation: xt=[100.21]xt1+[01]vt1 Where vtN(0,1) and elements of vt are mutually independent$ What is the variance-covariance matrix for x1 and x 2 at t=1 ? [0.20.10.11][0.20.10.12][0.40.20.22][0.40.20.21]