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Results tagged with stationarity
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user 328848
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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Is this AR(2) model stationary?
I have found an article about stationarity:
Variance of a stationary AR(2) model
and I have also estimated a model:
And I am not sure if I have understood it, is it truly stationary? …
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How does covariance stationarity even exist?
I've been wondering recently about covariance stationarity. …
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In a time series forecasting, should we apply differencing on entire dataset if one or two f...
It all depends on the actual data you're dealing with, generally speaking using VAR with nonstationary time series will not work. However, you can try to approach the problem with VECM.
This could be …
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