Time Series — Stationary and Non-Stationary Processes
Free GARP FRM Part I lesson in Quantitative Analysis. 19 min read, ~2,799 words.
Covariance stationarity requires constant mean, constant variance, and autocovariances that depend only on the lag, not on time. AR(1) is stationary when φ < 1; the mean-reverting level is α / (1 − φ). At φ = 1 you have a random walk and stationarity breaks. MA(q) is always stationary...
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