金融计量经济学(双语版)(全套课件).ppt

Chapter5;1introduction;AStrictlyStationaryProcess

Astrictlystationaryprocessisonewhere

Foranyt1,t2,…,tn∈Z,anym∈Z,n=1,2,…

AWeaklyStationaryProcess

Ifaseriessatisfiesthenextthreeequations,itissaidtobeweaklyorcovariancestationary

1.E(yt)=?, t=1,2,...,?

2.

3. ?t1,t2

;Soiftheprocessiscovariancestationary,allthevariancesarethesameandallthecovariancesdependonthedifferencebetweent1andt2.Themoments