5-3 2 Some Notation and concepts a Strictly Stationary Process A strictly stationary process is one where Pmv1≤b,…,yn≤bhn}=P{y+m≤b,…,yn+m≤bn} For any t1,t2,…,tn∈Z,anym∈Z,n=1,2, A Weakly stationary process If a series satisfies the next three equations, it is said to be weakly or covariance stationary 1.E0y)=p,t=1,2,…, 2.E(v2-)(v2-)=a2<0 3.E(y21-A)(y2-A)=y2-Vt,z25-3 • A Strictly Stationary Process A strictly stationary process is one where • For any t1 ,t2 ,…, tn∈ Z, any m ∈ Z, n=1,2,… • A Weakly Stationary Process If a series satisfies the next three equations, it is said to be weakly or covariance stationary 1. E(yt ) =  , t = 1,2,..., 2. 3.  t 1 , t 2 2 Some Notation and Concepts P{yt b ,..., yt n bn } P{yt m b ,..., yt n m bn } 1  1  = 1+  1 +  E y y t t t t ( )( ) 1 2 2 1 −  −  = −  E y y t t ( − )( − ) =    2