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Time vs. Ensemble Averages for Nonstationary Time Series
Time Ensemble Averages Nonstationary Time Series
2010/12/17
We analyze the question whether sliding window time averages applied to stationary increment processes converge to a limit in probability. The question centers on averages, correlations, and densities...
Integration I(d) of Nonstationary Time Series: Stationary and nonstationary increments
Integration Nonstationary Time Series Stationary nonstationary increments
2010/12/17
The method of cointegration in regression analysis is based on an assumption of stationary increments. Stationary increments with fixed time lag are called integration I(d). A class of regression mod...