# M-dependent stationary process

1. Jan 26, 2007

### New_Galatea

[SOLVED] m-dependent stationary process

Hi all

Could you tell me a strict mathematical definition of "m-dependent stationary process" or maybe a link to where I could find it

Thanks In Advance

2. Jan 26, 2007

### EnumaElish

Amazon link.

Last edited: Jan 26, 2007
3. Jan 26, 2007

### New_Galatea

Thank you very much

4. Jan 26, 2007

### New_Galatea

And may be you know what is the dependence between m-dependent stationary process (where m=q) and ARMA(0,q) process???

5. Jan 26, 2007

### EnumaElish

Loosely, ARMA(0,q) = AR(0) + MA(q) = MA(q) which is $X_t = \epsilon_t + \sum_{i=1}^m \theta_i \epsilon_{t-i}$ (since q = m). See this link. You should be able to work out what this implies for m-dep. stat. process. (Hint: are Xt and Xs dependent or independent when t - s > m?)

Last edited: Jan 26, 2007
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