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Practical Time Series Analysis by Dr. PKS Prakash, Dr. Avishek Pal

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Zero mean models

The zero-mean models have a constant mean and constant variance and shows no predictable trends or seasonality. Observations from a zero mean model are assumed to be independent and identically distributed (iid) and represent the random noise around a fixed mean, which has been deducted from the time series as a constant term.

Let us consider that X1, X2, ... ,Xn represent the random variables corresponding to n observations of a zero mean model. If x1, x2, ... ,xn are n observations from the zero mean time series, then the joint distribution of the observations is given as a product of probability mass function for every time index as follows:

P(X1 = x1,X2 = x2 , ... , Xn = xn) = f(X1 = x1) f(X2 = x2) ... f(Xn = xn)

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