IntrinsicStationarity - crowlogic/arb4j GitHub Wiki

A stochastic process is intrinsically stationary if it satisfies these conditions:

• Constant Mean: The expected value or mean of the stochastic process is constant.

• Constant Variance: The variance or dispersion of the stochastic process remains constant

• Autocovariance: The autocovariance depends only on the distance between these variables, and not on their absolute position within the process.

These are fundamental properties of an intrinsically stationary stochastic process. The intrinsic stationarity concept describes a class of stochastic processes that inherently possess these properties. If a stochastic process is intrinsically stationary, it will inherently adhere to these conditions, making them an integral part of its structure.