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Do two stationary time series necessarily have stationary covariance?
If we know that two time series are themselves stationary (constant mean and variance; no autocorrelation), can we say that the covariance of these two time series is also stationary based on that fact alone?
Why or why not?
1 Answer
- 1 decade agoFavorite Answer
My instincts tell me no, but I can't quite explain why.
Check out this site, perhaps you can make better sense of it after reading this.
I'm thinking that without correlation, and since you don't know the variance, that you can not conclude that the covariance is stationary
Source(s): http://mathworld.wolfram.com/Covariance.html http://www.netmba.com/statistics/covariance/
