# Quick question on the stationarity of an autoregressive process depending on the time index

by Monolite   Last Updated May 16, 2019 00:19 AM

Let the stochastic process $$\{ X_t \}_{t \in \mathbb{Z}}$$ satisfy the equation

$$X_t = \theta X_{t-1} +\epsilon_t$$

where $$|\theta| < 1$$ and $$\epsilon_t$$ is gaussian white noise. This is an AR(1) stationary process.

If we had taken instead of $$\{ X_t \}_{t \in \mathbb{Z}}$$ with the time index on the integers the time index on the naturals $$\{ X_t \}_{t \in \mathbb{N}}$$ would we lose the stationarity?

I say this because with the time index on the naturals we obtain $$X_t = \sum_{i=0}^t \theta^i \epsilon_{t-i} + \theta^t X_0$$ and the expectation is clearly changing in this case at each time $$t$$.

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