A process $(X_t)_{t\in\mathbb Z}$ is <weakly stationary process>[weakly stationary] when it has finite second moments, a time-independent mean $\mathbb E X_t=\mu$, and an <autocovariance function>
$$
\operatorname{Cov}(X_t,X_s)=\gamma(t-s)
$$
that depends only on the lag.

Solution

Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 218 / 2 / a / Solution

 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2023/iii/paper-218/2/a/solution