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Covariance-stationary

A process $X t$ is 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 $γ j$ denotes the autocovariance. Thus, a process is covanriance-stationary, if neither the mean nor the autocovariances depende on the date $t$ .

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07-14-2008 23:18:10
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