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:
“... 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)
“It is very hard to give a just definition of love. The most we can say of it is this: that in the soul, it is a desire to rule; in the spirit, it is a sympathy; and in the body, it is but a hidden and subtle desire to possess—after many mysteries—what one loves.”
—François, Duc De La Rochefoucauld (1613–1680)
“One definition of man is “an intelligence served by organs.””
—Ralph Waldo Emerson (1803–1882)