Results 1 to 1 of 1

Math Help - Stationary process of time series

  1. #1
    Newbie
    Joined
    May 2010
    Posts
    3

    Stationary process of time series

    Say we have X_t = \sum_{j=1}^{q}(A_j cos\lambda_jt + B_j sin\lambda_jt) for t = 0,1,2...

    where \lambda_1,....\lambda_q are constants and A_1,...A_q,B_1,...B_q are independent, zero mean r.v's all with variance \sigma^2.

    I need to show that X_t is a stationary process. I've already worked out the mean, but now I just need to show that Cov( X_t,X_{t+k}) depends only on k, and is independent of t.

    Any help would be much appreciated.
    Attached Thumbnails Attached Thumbnails Stationary process of time series-untitled.bmp  
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Time Series weakly stationary
    Posted in the Advanced Math Topics Forum
    Replies: 0
    Last Post: October 18th 2010, 06:39 AM
  2. Testing an AR process to see if it's stationary
    Posted in the Advanced Statistics Forum
    Replies: 1
    Last Post: February 23rd 2010, 07:26 AM
  3. Replies: 0
    Last Post: February 18th 2010, 02:15 PM
  4. Stationary process
    Posted in the Business Math Forum
    Replies: 1
    Last Post: September 7th 2009, 07:33 PM
  5. Non-stationary time series
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: May 25th 2009, 07:21 AM

Search Tags


/mathhelpforum @mathhelpforum