A sequence of random variables is covariance stationary if all the terms of the sequence have the same mean, and if the covariance between any two terms of the sequence depends only on the relative positions of the two terms, that is, on how far apart they are located from each other, and not on their absolute position, that is, on where they are located in the sequence.
Covariance stationary sequences are also called weakly stationary.
This is a formal definition.
Definition A sequence of random variables is covariance stationary if and only if
In other words, all the terms of the sequence have mean , and the covariance depends only on and not on .
The definition can be generalized to sequences of random vectors, in which case is a vector of expected values and is a matrix of covariances between the entries of the two vectors and .
More details about covariance stationary sequences can be found in the lecture entitled Sequences of random variables.
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