Stationary and non-stationary time series

It is important that time series data that's used for statistical analysis is stationary in order to perform statistical modeling correctly, as such usages may be for prediction and forecasting. This section introduces the concepts of stationarity and non-stationarity in time series data.

Stationarity and non-stationarity

In empirical time series studies, price movements are observed to drift toward some long-term mean, either upwards or downwards. A stationary time series is one whose statistical properties, such as mean, variance, and autocorrelation, are constant over time. Conversely, observations on non-stationary time series data have their statistical properties...