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Math Help - time series

  1. #1
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    time series

    What is the difference between a time series without autocorrelation, and a stationary time series?

    If they are the same, why do we need to do both the Ljung-Box test and unit root test?
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  2. #2
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    Quote Originally Posted by eulerian View Post
    What is the difference between a time series without autocorrelation, and a stationary time series?

    If they are the same, why do we need to do both the Ljung-Box test and unit root test?
    Consider a time series where the value at epoc i is normally distributed with zero mean and variance \sigma_i^2=|i| and independedent of the values at all other epocs. The autocorrelation of this process is clearly zero for all non-zero lags and it is also clearly non-stationary.

    CB
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  3. #3
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    Quote Originally Posted by CaptainBlack View Post
    Consider a time series where the value at epoc i is normally distributed with zero mean and variance \sigma_i^2=|i| and independedent of the values at all other epocs. The autocorrelation of this process is clearly zero for all non-zero lags and it is also clearly non-stationary.

    CB
    One definition of a weakly stationary process is E(yt-\mu)^2={\sigma}^2or with constant variance.

    So, why do the above process with non-zero value of autocorrelation function for zero lags is stationary?
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  4. #4
    Grand Panjandrum
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    Quote Originally Posted by eulerian View Post
    One definition of a weakly stationary process is E(yt-\mu)^2={\sigma}^2or with constant variance.

    So, why do the above process with non-zero value of autocorrelation function for zero lags is stationary?
    Try that again what you have written is incomprehensible.

    The process I have described is non-stationary

    CB
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