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:
“The definition of good prose is proper words in their proper places; of good verse, the most proper words in their proper places. The propriety is in either case relative. The words in prose ought to express the intended meaning, and no more; if they attract attention to themselves, it is, in general, a fault.”
—Samuel Taylor Coleridge (1772–1834)
“The physicians say, they are not materialists; but they are:MSpirit is matter reduced to an extreme thinness: O so thin!—But the definition of spiritual should be, that which is its own evidence. What notions do they attach to love! what to religion! One would not willingly pronounce these words in their hearing, and give them the occasion to profane them.”
—Ralph Waldo Emerson (1803–1882)
“... we all know the wag’s definition of a philanthropist: a man whose charity increases directly as the square of the distance.”
—George Eliot [Mary Ann (or Marian)