6 Stationary Time Series

This section is based on (Brockwell and Davis 2016), (Brockwell and Davis 2009), (Lapinskas 2013b), (Lapinskas 2013a) and (Hyndman and Athanasopoulos 2014).

In this chapter we will present the definition and main properties of a stationary time series process and models. The methodology and concepts presented here are the foundation of many time series models, which will be discussed in further chapters.

A general overview of the topics and terminology covered in this chapter can be found at:




Brockwell, P. J., and R. A. Davis. 2009. Time Series: Theory and Methods. Springer Series in Statistics. Springer. https://books.google.lt/books?id=\_DcYu\_EhVzUC.

Brockwell, P. 2016. Introduction to Time Series and Forecasting. Springer Texts in Statistics. Springer International Publishing. https://books.google.lt/books?id=P3fhDAAAQBAJ.

Hyndman, R. J., and G. Athanasopoulos. 2014. Forecasting: Principles and Practice: OTexts. https://books.google.lt/books?id=gDuRBAAAQBAJ.

Lapinskas, R. 2013a. Practical Econometrics II. Time Series Analysis (Computer Labs). Vilnius.

Lapinskas, R. 2013b. Practical Econometrics II. Time Series Analysis (Lecture Notes). Vilnius.