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Results tagged with stationarity
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user 37155
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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Using a stationary data set with exponential smoothing
I am doing time series forecasting and running Holts Method with several variations.(exponential, damped, simple)
> dput(tsOenb)
structure(c(142.8163942, 143.5711365, 145.3485827, 142.0577145,
139. …
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1
answer
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KPSS test outputs and DF test interpretation
I am running a Kwiatkowski–Phillips–Schmidt–Shin test (KPSS test) in R (urca::ur.kpss). However, I am quite unsure if it is performed correctly, because the results are the same for each data column. …
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Interpretation of critical values of KPSS test
0.3544
Critical value for a significance level of:
10pct 5pct 2.5pct 1pct
critical values 0.119 0.146 0.176 0.216
As the KPSS test is in favour, in case of a rejection, for the non-stationarity … My initial guess is, as the critical values are larger for the 10pct and 5pct level I should reject stationarity.
Is this correct?
Thx in advance! …
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