A note on time series differencing
Canadian University of Dubai
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.
arma, autocovariance, differencing, stationary, strictly stationary, time series, weakly stationary
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