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Luca Thiede
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Under which assumptions does weak stationarity imply strong stationarity

An excercise question for time series analysis asks:

Given is the process $$ y_t = 0.8y_{t-1} 0.1y_{t-2} + u_t $$

  1. Is this process weakly stationary (I would answer this with the stability triangle)

2.Under which assumptions does this property imply strong stationarity

I thought, strong always implies weak, but not, that it can be the other way around?

Luca Thiede
  • 705
  • 6
  • 15