stationary process §

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Def: §

Time series {} is stationary if only if:

• is independent of t, mean does not change over time §

• is independent of t, variance does not change over time
• is independent of t for each h, the correlation for observation between the same time lag(h) does not change. note: the correlation is ok depend on h, or how long apart the observation are.

Remarks: The key characteristics of the stationary time series do not change over time, which makes it easy to model and predict: §

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White noise: §

• White noise is stationary

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Backward Shift Operator B: §

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TAGS §