Stationarity
Stationarity is a mathematical concept connected to stochastic processes, and so it’s a broader concept as it’s not only related to Time Series Analysis. Here, we don’t focus on the mathematical definition (also because we have different types of stationarities in mathematics and so many definitions), but we explain what a stationary time series is.
The most simple definition of stationarity is the following: stationarity indicates that fundamental statistical properties of the Time Series, such as its mean and its variance, do not change over time. However, this does not imply that the Time Series does not change at all over time. We can still observe time-dependent dynamics and autocorrelation in a stationary time series, but the mean, the variance, and the autocorrelation structure of a stationary time series will be roughly constant over time.
So, the main characteristics of a stationary time series are the following:
- The values oscillate...
