A note on time series differencing

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Date

2021-05-11

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Publisher

Canadian University of Dubai

Abstract

Differencing is one of the key tools time series analysis. It is com-monly used to obtain stationary time series. In this note, we show that the nth difference of a weakly stationary time series is weakly stationary. Similarly we prove that the nth difference of a strictly stationary time series is strictly stationary. We also consider the effect of differencing on the time series auto-covariance. © 2021, Canadian University of Dubai. All rights reserved.

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Keywords

arma, autocovariance, differencing, stationary, strictly stationary, time series, weakly stationary

Citation

Kamalov, F. (2021). A note on time series differencing. Gulf Journal of Mathematics, 10(2), 50-56. https://doi.org/10.56947/gjom.v10i2.609

URI

https://doi.org/10.56947/gjom.v10i2.609
 https://hdl.handle.net/20.500.12519/839

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Department of Electrical Engineering