Stationary Time-series Data

Before fitting any existing model to time-series data we check for different things

  • Stationarity of time series: Stationarity  of time series is ensured by three properties [1].  A pictorial depiction of these properties is shown at link
    • The mean of time-series (xt) is the same for all xt .
    • The variance of time-series (xt) is the same for all xt .
    • The covariance (and also correlation) between xt and xt-h is the same for all t.

We care about stationarity because most time-series models  assume stationarity. Also, a time-series can be stationarized by detrending and differencing.

 

 

References :

  1. https://onlinecourses.science.psu.edu/stat510/node/60
  2. http://www.analyticsvidhya.com/blog/2015/12/complete-tutorial-time-series-modeling/

 

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