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:
“Beauty, like all other qualities presented to human experience, is relative; and the definition of it becomes unmeaning and useless in proportion to its abstractness. To define beauty not in the most abstract, but in the most concrete terms possible, not to find a universal formula for it, but the formula which expresses most adequately this or that special manifestation of it, is the aim of the true student of aesthetics.”
—Walter Pater (1839–1894)
“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)
“... 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)