A NOTE ON TIME SERIES DIFFERENCING

Abstract

Differencing is one of the key tools time series analysis. It is com-monly used to obtain stationary time series. In this note, we show that the nth difference of a weakly stationary time series is weakly stationary. Similarly we prove that the nth difference of a strictly stationary time series is strictly stationary. We also consider the effect of differencing on the time series auto-covariance.