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Weak Stationarity Chapter 2

A

Amit_Bansal

Member
A process will be weakly stationary if:
•E(Xt) is constant for all t, and
•cov(Xt, Xt+k) depends only on the lag k.

What does 2nd condition imply? What does it mean cov depends on?
Please help me grabbing this point, if possible, with example.

Thanks.
 
Hi Amit,

It means that the relationship that X3 has with X5 is the same as the relationship that X33 has with X35. The relationship that X has with itself 2 time periods ago will always be the same, and wont change with time.

It means this for any lag, including 0, for example, which means that the variance is constant,

Good luck!
John
 
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