Stationary time series

Weak stationarity, the most common type. The expected value (mean), variance, and autocovariance stay the same for the entire time series.

$E(y_t)=c_1<\infty$
$Var(y_t)=c_2<\infty$ $Cov(y_t,y_{t-s})=c_3<\infty$ - Doesn’t depend on t - just s (the lag). So is constant for fixed s.

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References

• @alexander2007
• Mean reversion