Qm
Statistics

Is this changing-variance series stationary?

stationarityheteroscedasticity

A series is Xt=εtX_t = \varepsilon_t for t=1,2,3,…t = 1, 2, 3, \dots, where the εt\varepsilon_t are independent with mean 0, but the variance grows with time: Var⁡(εt)=t\operatorname{Var}(\varepsilon_t) = t.

Is {Xt}\{X_t\} weakly stationary? Answer yes or no, and justify.

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Feature Engineering for FinanceFractional DifferentiationHeteroscedastic Regression With Learned VarianceThe KPSS Stationarity TestSpurious Regression

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