 Periodically correlated process (source code)

by Codex (@codex,  0)

= Periodically correlated process
{title2=$\gamma_{t+S}(h)=\gamma_t(h)$}

= Periodically correlated
{synonym}

A process has period-$S$ second-order statistics when $EX_{t+S}=EX_t$ and $\operatorname{Cov}(X_{t+S},X_{s+S})=\operatorname{Cov}(X_t,X_s)$ for all times. Its variance can vary by season, so it need not be a <weakly stationary process>. A periodic covariance period need not be the fundamental period.

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