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order of integration
Order of integration, denoted ''I''(''d''), is a summary statistic for a time series. It reports the minimum number of differences required to obtain a covariance stationary series.
== Integration of order zero ==
A time series is integrated of order 0 if it admits a moving average representation with
:
where is the possibly infinite vector of moving average weights (coefficients or parameters). This implies that the autocovariance is decaying to 0 sufficiently quickly. This is a necessary, but not sufficient condition for a stationary process. Therefore, all stationary processes are I(0), but not all I(0) processes are stationary.
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
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