Consequences of Non-Stationarity
What are the consequences of non-stationarity?
Unreliable forecasts and spurious regressions.
Strict vs Weak Stationarity
What is weak stationarity?
Mean, variance, and autocorrelation are constant.
Definition of Stationarity
What is the definition of stationarity in time series analysis?
Statistical properties remain constant over time.
Relationship to Ergodicity
What is the relationship between stationarity and ergodicity?
Stationary processes are often ergodic.
Visual Inspection Techniques
What is a visual inspection technique for testing stationarity?
Plotting data to observe trends and patterns.
Importance of Stationarity in Time Series Analysis
Why is stationarity important in time series analysis?
Many TSA techniques assume stationarity.
How does stationarity affect model selection?
Different models are used for stationary vs non-stationary data.
Strict vs Weak Stationarity
What is strict stationarity?
All statistical properties are constant.
Impact on Time Series Decomposition
How does stationarity impact time series decomposition?
It affects trend and seasonal components.
What are common tests for stationarity?
Augmented Dickey-Fuller test and KPSS test.
