A note on time series differencing

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Firuz Kamalov

Abstract

Differencing is one of the key tools time series analysis. It is commonly 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 autocovariance.

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How to Cite
Kamalov, F. (2021). A note on time series differencing. Gulf Journal of Mathematics, 10(2), 50-56. Retrieved from https://gjom.org/index.php/gjom/article/view/609
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