Statistical & Financial Consulting by Stanford PhD
Home Page
STATIONARY PROCESS

We distinguish two types of stationarity: strict stationarity (or strong stationarity) and weak stationarity.

Strictly Stationary Process (strongly stationary process) is a stochastic process whose finite-dimensional distributions do not change with time. Formally speaking, a stochastic process X(t) is strictly stationary if, for any moments of time t1, ..., tk, positive shift h and values x1, ..., xk,

        P( X(t1+h) ≤ x1, ... , X(tk+h) xk ) = P( X(t1) x1, ... , X(tk) xk ).

Stationary Process (weakly stationary process) is a stochastic process whose expectations and covariances do not change with time. Formally speaking, a stochastic process X(t) is weakly stationary if, for any moments of time s < t and positive shift h,

        1] E[ X(t+h) ] = E[ X(t) ], 

        2] Cov[ X(s+h), X(t+h) ] = Cov[ X(s+h), X(t+h) ].

Strict stationarity implies weak stationarity.


STATIONARY PROCESS REFERENCES

Lawler, G. F. (1995). Introduction to Stochastic Processes. New York: Chapman and Hall/CRC.

Ross, S. M. (1995). Stochastic Processes (2nd ed). New York: Wiley.

Karlin, S., & Taylor, H. M. (1975). A First Course in Stochastic Processes (2nd ed). New York: Academic Press.

Gikhman, I. I., & Skorokhod, A. V. (2004). The Theory of Stochastic Processes I. Springer-Verlag Berlin Heidelberg.

Gikhman, I. I., & Skorokhod, A. V. (2004). The Theory of Stochastic Processes II. Springer-Verlag Berlin Heidelberg.

Gikhman, I. I., & Skorokhod, A. V. (2007). The Theory of Stochastic Processes III. Springer-Verlag Berlin Heidelberg.

Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press.

Brockwell, P.J., & Davis, R. A. (1991). Time Series: Theory and Methods (2nd ed). New York: Springer.

Tsay, R. S. (2005). Analysis of Financial Time Series. New Jersey: Wiley-Interscience.

Greene, W. H. (2011). Econometric Analysis (7th ed). Upper Saddle River, NJ: Prentice Hall.


BACK TO THE
STATISTICAL ANALYSES DIRECTORY


IMPORTANT LINKS ON THIS SITE