Let {Xn}n∈N0 be a symmetric simple random walk. For n ∈ N the average of the random walk on the interval [0,n] is defined by
Is {An}n∈N0 a simple random walk (not necessarily symmetric)? Explain carefully using the definition.
Compute the covariance Cov(Xk,Xl) = E[(Xk - E[Xk])(Xl - E[Xl])], for k ≤ l ∈ N
Compute the variance of An, for n ∈ N.