Time Series — Stationary and Non-Stationary Processes
Free GARP FRM Part I lesson in Quantitative Analysis. 19 min read, ~2,871 words.
Covariance stationarity requires constant mean, constant variance, and autocovariances that depend only on the lag; deterministic trends and unit roots break it. AR(1) is stationary when φ < 1, with mean-reverting level α / (1 − φ); at φ = 1 you have a random walk with no mean to...
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