A note on time series differencing

Kamalov, Firuz2023-10-022023-10-022021-05-11Kamalov, F. (2021). A note on time series differencing. Gulf Journal of Mathematics, 10(2), 50-56. https://doi.org/10.56947/gjom.v10i2.60923094966https://doi.org/10.56947/gjom.v10i2.609https://hdl.handle.net/20.500.12519/839Differencing 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.enCreative Commons CC BY 4.0armaautocovariancedifferencingstationarystrictly stationarytime seriesweakly stationaryA note on time series differencingArticleCopyright : © 2021, Canadian University of Dubai. All rights reserved.