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Advanced Proof

Proof of Stationarity Conditions for a First-Order Autoregressive (AR(1)) Model

Students frequently conflate stationarity with the existence of a finite mean. Even if ϕ=1 |\phi| = 1 , a mean can technically exist if defined at a specific starting point, but the variance becomes infinite as t t \to \infty , violating the fundamental requirement of time-invariant variance.
Institutional Reference: Applied Statistics
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