Re: need to construct some stationary processes?

beliavsky_at_aol.com
Date: 01/25/05 

Date: 25 Jan 2005 13:59:51 -0800

Lucy wrote:

>In constructing counterexample and examples in my study of random
processes,
>and entropy theory... I need to construct some stationary processes...

>For example, discrete index stationary processes...

>I feel the concept of "stationarity" is very abstract; currently I
only know
>IID process... are there any more other stationary processes? any
existing
>results? please also give me some examples on how to construct such
>stationary process...

Almost any book on time series analysis would mention that an AR(1)
(autoregressive model of order one) process,

x(t) = c*x(t-1) + e(t)

with e(t) IID, zero-mean noise
and |c| < 1

is stationary. There are other stationary ARMA processes.