Integrated process

Notation $y_t\sim I(n)$

The non-deterministic (AKA stochastic) part of the series is stationary when you take at least n differences ($I(0)$ denotes a Stationary time series):

so for $y_t\sim I(n)$ then ${\Delta }^n{y}_t\sim I(0)$

An $I(n)$ series is n first differences away from being stationary Example: $\ln P_t=c+\ln P_{t-1}+{ϵ}_t$

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References

@alexander2007