DRMST DGP Assumptions
?-Dependence Assumption
[xt and xs are independent for |t-s|> ?]
Finite Plus-Variance Assumption
E[|xt|2+?]<K, (e.g., Bounded DGP : |xt|<K w.p.1.)
Second-Order Stationary
- weaker than: i.i.d.
- weaker than: strict stationarity
- stronger than: identically distributed