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Covariance-stationary

A process Xtis said to be covariance-stationary (or weakly stationary), if

\mbox{E}(X_t)=\mu \quad\forall t \,
\mbox{E}(X_t-\mu)(X_{t-j}-\mu)=\gamma_j \quad \forall t \mbox{ and any }j \,,

where γj denotes the autocovariance. Thus, a process is covanriance-stationary, if neither the mean nor the autocovariances depende on the date t.

Last updated: 05-30-2005 22:12:23
Science Fair Project Encyclopedia Contents Page
10-26-2009 08:16:03
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