# Questions tagged [stationarity]

A strictly stationary process (or time series) is one whose joint distribution is constant over time shifts. A weakly stationary (or covariance stationary) process or series is one whose mean and covariance function (variance and autocorrelation function) do not change over time.

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### Dickey-Fuller test statistical significance

I recently read about the Dickey-Fuller test. Firstly about the transformation from $$y_t=\rho y_{t-1}+\epsilon_t$$ to: $$y_t-y_{t-1}=(\rho-1) y_{t-1}+\epsilon_t$$ I assumed it is to get the ...
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### Signal fusion between different sensors

I have a 30-year time series of variable (soil water content at three depths) constrained between maximum and minimum values. During this period, three different types of sensors were used to record ...
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### Stationary Check (ADF, KPSS and ACF PACF Plot) for SARIMAX model

I'm still confused about whether my data is stationary in terms of variance and mean or not, because based on the ADF test and KPSS test the data already shows stationary (because it rejects H0) but ...
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### Covariance stationarity for an AR(1) with squared terms?

I have a simple, but surprisingly mind-numbing, problem. I am familiar with determining stationarity for an AR(p) process: look at the roots from the characteristic equation. What if we had higher-...
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### how to determine if there is changes in the process or the process dynamics

I have two groups of data representing a filtration process- Group1 and Group2. The underlying principle of both the groups are the same. However, in Group1 there are 11 filters doing the filtration ...
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### general procedure with panel data? [closed]

I've read that the general approach for modeling with panel data (in my case, 18 countries x 18 years) is as follows: identify and collect data on dependent variable, main independent variable and ...
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### Granger causality test with I(1) and I(2) variables

I have two time series variables for daily financial data: "A" is I(1) and "B" is I(2). After log-differencing once and twice, respectively, to make them stationary, I obtained &...