A weakly stationary time series, also known as covariance stationary, has three main properties:

1. The mean of the series should not be a function of time. Rather, it should be a constant. The image below depicts a stationary series. Notice how the mean does not change over time.

2. The variance of the series should not a be a function of time. This property is known as homoscedasticity. Following figure depicts what is and what is not a stationary series. (Notice the varying spread of distribution in the ‘Non-stationary Series’).

3. The covariance of the i th term and the (i + m) th term should not be a function of time. In the following plot, you will notice the spread becomes closer as the height increases. Hence, the covariance is not constant with time for the ‘Non-stationary Series’.

So, the answer is e. a, b and c. The mean, variance and autocovariance are all time-invariant for a weakly stationary time series.

Question

A weakly stationary time series, also known as covariance stationary, has three main properties:

1. The mean of the series should not be a function of time. Rather, it should be a constant. The image below depicts a stationary series. Notice how the mean does not change over time.

2. The variance of the series should not a be a function of time. This property is known as homoscedasticity. Following figure depicts what is and what is not a stationary series. (Notice the varying spread of distribution in the ‘Non-stationary Series’).

3. The covariance of the i th term and the (i + m) th term should not be a function of time. In the following plot, you will notice the spread becomes closer as the height increases. Hence, the covariance is not constant with time for the ‘Non-stationary Series’.

So, the answer is e. a, b and c. The mean, variance and autocovariance are all time-invariant for a weakly stationary time series.

Knowee AI · Accepted Answer

A weakly stationary time series, also known as covariance stationary, has three main properties:

1. The mean of the series should not be a function of time. Rather, it should be a constant. The image below depicts a stationary series. Notice how the mean does not change over time.

2. The variance of the series should not a be a function of time. This property is known as homoscedasticity. Following figure depicts what is and what is not a stationary series. (Notice the varying spread of distribution in the ‘Non-stationary Series’).

3. The covariance of the i th term and the (i + m) th term should not be a function of time. In the following plot, you will notice the spread becomes closer as the height increases. Hence, the covariance is not constant with time for the ‘Non-stationary Series’.

So, the answer is e. a, b and c. The mean, variance and autocovariance are all time-invariant for a weakly stationary time series.

Which is/are time-invariant for a weakly stationary time series?a. meanb. variancec. autocovarianced. both a and be. a, b and c

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Which is/are time-invariant for a weakly stationary time series?

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