Umberto Triacca
Ft1 +k,t2 +k,··· ,ts +k (b1 , b2 , · · · , bs ) = Ft1 ,t2 ,··· ,ts (b1 , b2 , · · · , bs )
x1 , x2 , x3 , ...
Since the random variables xt1 +k , xt2 +k , ..., xts +k are iid, we have
that
On the other hand, also the random variables xt1 , xt2 , ..., xts are iid
and hence
Ft1 +k,t2 +k,··· ,ts +k (b1 , b2 , · · · , bs ) = Ft1 ,t2 ,··· ,ts (b1 , b2 , · · · , bs )
{xt ; t ∈ N}
Why?
{xt ; t ∈ N}
Why?
If the second moment of xt is finite for all t, then the mean E (xt ),
the variance var(xt ) = E [(xt − E (xt ))2 ] = E (xt2 ) − (E (xt ))2 and
the covariance cov(xt1 , xt2 ) = E [(xt1 − E (xt1 ))(xt2 − E (xt2 ))] are
finite for all t, t1 and t2 .
Why?
E (yt ) = δ
First note that finite second moments are not assumed in the
definition of strong stationarity, therefore, strong stationarity does
not necessarily imply weak stationarity.
have the same joint distribution function for all t1 , and t2 and h.
Because, by hypothesis, the process {xt ; t ∈ Z} has finite second
moment, this implies that
E (xt ) = µ ∀t
cov(xt1 , xt2 ) = cov(xt1 +h , xt2 +h ) ∀t1 , t2 , h
We have
(
E (ut ) = 0 if t is even
E (xt ) = √1 E (u 2 − 1) =
2 t 0 if t is odd
and
var(ut ) = 1 if t is even
var(xt ) = 1 2
2 var(ut−1 ) = 1 if t is odd
Further, because xt and xt−k are independent random variables, we
have
cov(xt , xt−k ) = 0 ∀k
Thus, the process xt is weakly stationary. In particular,
xt ∼ WN(0, 1).
and
1
P (xt ≤ 0) = P √ (ut2 − 1) ≤ 0
2
2
= P ut−1 ≤ 1
= P (|ut−1 | ≤ 1)
= P (−1 ≤ ut−1 ≤ 1)
= 0.6826 for t odd
Why?