WeakStationarity

WeakStationarity[proc]

gives conditions for the process proc to be weakly stationary.

Details

  • Weakly stationary processes are also known as wide-sense stationary or covariance stationary.
  • A random process proc is weakly stationary if its mean function is independent of time, and its covariance function is independent of time translation.

Examples

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Basic Examples  (3)

Check if a process is weakly stationary:

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Check if an autoregressive time series is weakly stationary:

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Generate conditions for a time series to be weakly stationary:

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Scope  (6)

Properties & Relations  (4)

See Also

Mean  CovarianceFunction  SliceDistribution  MAProcess  ARProcess  ARMAProcess  ARIMAProcess  FARIMAProcess

Introduced in 2012
(9.0)