Stationary Time-series Data

Before fitting any existing model to time-series data we check for different things

• Stationarity of time series: Stationarity  of time series is ensured by three properties [1].  A pictorial depiction of these properties is shown at link
  • The mean of time-series (x_t) is the same for all x_t .
  • The variance of time-series (x_t) is the same for all x_t .
  • The covariance (and also correlation) between x_t and x_t-h is the same for all t.

We care about stationarity because most time-series models  assume stationarity. Also, a time-series can be stationarized by detrending and differencing.

 

 

References :

1. https://onlinecourses.science.psu.edu/stat510/node/60
2. http://www.analyticsvidhya.com/blog/2015/12/complete-tutorial-time-series-modeling/