2. Time series: random processes and realizations
2.1 It's a particular random process
A random process (X ), indexed by a set T, is a family (Xt ), where t ∊ T, of random vectors with values in the state space (or , but in the following we restrict ourselves to series with values in ).
The process is defined by the joint probability density of its values taken for any finite-size part of T. If k = 1, the process is said to be "uni-variate".
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Time series: random processes and realizations
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