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It concerns the ARMAX time series modelling.

In order to have a stationary time series, does the exogoneous part need to be stationary too ? Or it does not have any influence ?

Thank you all !

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  • $\begingroup$ Yes, for stationarity the "X" part of ARMAX needs to be stationary. $\endgroup$ – Michael Jun 18 '20 at 5:43

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