1
$\begingroup$

During my studies I came across the $I(g)$-symbol, in the sense that $Z_t \sim I(g)$ for an integer $g$ and $Z_t$ is a times series. What exactly does this mean, and does it have to do with stationarity?

$\endgroup$
7
$\begingroup$

It's hard to tell without more context. But mostly sure it means "$Z_t$ is integrated of order $g$", i.e. $\Delta ^g Z_t=(1-d)^gZ_t$ (where $d$ is the lag operator) is stationary, in other words you have to difference $Z_t$ $g$ times to get an stationary time series. See this.

$\endgroup$
1
  • $\begingroup$ Helps a lot, thank you! $\endgroup$
    – Meowdog
    Jul 30 at 15:49

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.