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Time Series Analysis: Independent Stationary Processes

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Two processes {Z(t)} and {Y(t)} are said to be independent if for any time points t(1), t(2), ... t(m) and s(1), s(2),...s(n) the random variables {Z(t), Z(t2),...Z(tm)} are independent of the random variables {Y(s1), Y(s2),...Y(sn)}. Show that if {Z(t)} and {Y(t)} are independent stationary processes, then W(t) = Z(t) + Y(t) is stationary.

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Solution Summary

This solution explains how to prove that two given processes are independent stationary processes and how this means that another process is also stationary.

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