Work

On the ergodicity of economic processes represented by time series

Year: 2024

Type: article

Abstract: The article presents a method for testing the weak stationarity of a random process by means of its time series, which comes down to calculating the mean and the autocorrelation function over segments of the original series. Novelty of the presented procedures consists in estimating the stationarity of these values. The well-known theoretical criterion of ergodicity of a random process is adapted for practical application. The presented methods have been tested on a model example of a weakly ergodic random process and on a time series of the stock quotes of «Inarktika» company.

Source: Vestnik of Samara University Economics and Management

DOI: 10.18287/2542-0461-2024-15-4-45-62

Authors: Dmitry B. Zotev, Daria I. Chernyshova

Institution: Novosibirsk State University of Economics and Management

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4407884357

FWCI: 0.723

Cites: 9

Cited by: 2

Related to: 10