A note on time series differencing

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dc.contributor.authorKamalov, Firuz
dc.date.accessioned2023-10-02T16:38:18Z
dc.date.available2023-10-02T16:38:18Z
dc.date.issued2021-05-11
dc.description.abstractDifferencing 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.
dc.identifier.citationKamalov, F. (2021). A note on time series differencing. Gulf Journal of Mathematics, 10(2), 50-56. https://doi.org/10.56947/gjom.v10i2.609
dc.identifier.issn23094966
dc.identifier.urihttps://doi.org/10.56947/gjom.v10i2.609
dc.identifier.urihttps://hdl.handle.net/20.500.12519/839
dc.language.isoen
dc.publisherCanadian University of Dubai
dc.relation.ispartofseriesGulf Journal of Mathematics; Volume 10, Issue 2
dc.rightsCreative Commons CC BY 4.0
dc.rights.holderCopyright : © 2021, Canadian University of Dubai. All rights reserved.
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectarma
dc.subjectautocovariance
dc.subjectdifferencing
dc.subjectstationary
dc.subjectstrictly stationary
dc.subjecttime series
dc.subjectweakly stationary
dc.titleA note on time series differencing
dc.typeArticle

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