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Lecture 13 Time Series: Stationarity, AR(p) & MA(q)

referred as ergodic in the wide sense. k k Time Series – Ergodicity of 2nd Moments • We state two essential theorems to the analysis of stationary time series. Difficult to prove in general. Theorem I If yt is strictly stationary and ergodic and xt = f(yt, yt-1, yt-2 , ...) is a RV, then xt is strictly stationary and ergodic.

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  Ergodic

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Transcription of Lecture 13 Time Series: Stationarity, AR(p) & MA(q)

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