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covariance stationary process


'covariance stationary process' can also refer to...

 

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A time series process yt for which the first two moments of the joint distributions of its finite subsequences exist and are constant over time:

E(yt) = μ < ∞, var(yt) = σ2 < ∞, cov(yt, yt+k) = γk < ∞

for all t.

Subjects: Economics.


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