ABSTRACT

The ultimate objective is to use the joint distribution to make probability inferences about future observations.

22.2 The concept of stationarity Simplication in time series analysis is achieved by requiring that the time series be stationary in the sense that the joint distribution be invariant with regard to any time displacement. That is

p Z Z p Z Zt t k t m t m k( , , ) ( , , )… = …+ + + + (22.2)

22.1 Introduction ........................................................................................................................447 22.2 The concept of stationarity ...............................................................................................447