Second-order stationarity(also called weak stationarity) time series have a constant mean, variance and an autocovariance that doesn’t change with time. Other statistics in the system are free to change over time. This constrained version of strict stationarity is very common. ...
noun The state or condition of a system in which the motions of its parts conform to the definition of stationary motion. from Wiktionary, Creative Commons Attribution/Share-Alike License. noun The condition of being stationary noun mathematics The condition of a series in which the value at all...
The hypothesis of stationarity is the basis for the estimation of the features from a time series. On the other hand, stationarity in HRV, and in general in physiological signals, is not a usual condition, especially in ambulatory subjects during their daily activities. Commonly, the ongoing sig...
A method is proposed for testing stationarity in an operational sense, i.e., by both including explicitly an observation scale in the definition and elaborating a stationarized reference so as to reject the null hypothesis of stationarity with a controlled level of statistical significance. While ...
In an initial attempt to remedy the non-stationarity of the time series (depicted in Fig. A Seasonal Autoregressive Integrated Moving Average (SARIMA) forecasting model to predict monthly malaria cases in KwaZulu-Natal, South Africa Moreover, the data for time series have the non-stationarity or...
Let {xt}Tt=1 be an n-vector time series. Our interest lies in testing the null hypothesisH0:xt=I(0)against the alternativeH1:x(i)t=I(ki),ki⩾1forsomei(see Engle and Granger, 1987 for the definition of I(k)). Under the alternative, we allow each element of xt to have differen...
Processes with volatility-induced stationarity are potentially applicable to interest rate time-series since, as has been acknowledged, mean-reversion effects occur mainly in periods of high volatility. As such, we provide evidence that the logarithm of the Fed funds rate can be modelled as a ...
Time Series Analysis of Monthly Rainfall data for the Gadaref rainfall station, Sudan, by Sarima Methods It is adjudged stationary by the Augmented Dickey Fuller unit root test. Its correlogram gives an indication of stationarity as well as an involvement of the presence of a seasonal moving ave...
Random perturbations and outliers interfere with the discovery of stable regularities, which entails higher robustness in prediction models. (c) Data distribution shift. Non-stationarity of the time series inevitably results in a dataset shift problem with the input data distribution varying over time....
In this paper we propose a refinement of the existing definition of volatility-induced stationarity that allows us to distinguish between processes with drift and diffusion induced stationarity and processes with pure volatility-induced stationarity. We also propose a classification of stationary processes ...