I am studying time series by myself.

I've just faced this process: $y_t = \epsilon_t \epsilon_{t-1}$, where $\epsilon_t$ is Gaussian white noise, with zero mean and variance equal to one.

Is this an example of covariance stationarity?

  • $\begingroup$ Welcome to CV, mark teck! $\endgroup$ – Alexis Sep 21 '18 at 0:38

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