Definition
Consider a discrete time stochastic process {}, and suppose that it can be written as an autoregressive process of order p:
Here, {} is a serially uncorrelated, mean zero stochastic process with constant variance . For convenience, assume . If is a root of the characteristic equation:
then the stochastic process has a unit root or, alternatively, is integrated of order one, denoted . If m = 1 is a root of multiplicity r, then the stochastic process is integrated of order r, denoted I(r).
Read more about this topic: Unit Root
Famous quotes containing the word definition:
“I’m beginning to think that the proper definition of “Man” is “an animal that writes letters.””
—Lewis Carroll [Charles Lutwidge Dodgson] (1832–1898)
“The very definition of the real becomes: that of which it is possible to give an equivalent reproduction.... The real is not only what can be reproduced, but that which is always already reproduced. The hyperreal.”
—Jean Baudrillard (b. 1929)
“... if, as women, we accept a philosophy of history that asserts that women are by definition assimilated into the male universal, that we can understand our past through a male lens—if we are unaware that women even have a history—we live our lives similarly unanchored, drifting in response to a veering wind of myth and bias.”
—Adrienne Rich (b. 1929)