Covariance Stationary
Class of processes X(t), t = 0, 1, 2, …, that have
- constant mean ? = E[X(t)]
- finite variance ?2 = E[(Xt - ?)2]
- autocorrelation r(k) = E[ (Xt - ?) (Xt+k - ?)]/ E[(Xt - ?)2] that depends only on k.
We assume the autocorrelation has the form
r(k) ~ k-? L1(k) as k ??
- where L is slowly varying at infinity