If the process has a unit root, then it is a non-stationary time series.
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Wold's thesis, " A Study in the analysis of stationary time series, " was an important contribution.
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Non stationary time series have a pronounced trend and do not have a constant long-run mean or variance.
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Among his most frequently cited contributions is the Annals of Statistics 1989 article on bootstrapping and jackknifing in stationary time series.
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SSA can be used as a model-free technique so that it can be applied to arbitrary time series including non-stationary time series.
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Box and Jenkins suggest differencing a non stationary time series to obtain a stationary series to which an ARMA model can be applied.
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Clive Granger demonstrated that the statistical methods used for stationary time series could yield wholly misleading results when applied to the analysis of nonstationary data.
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A sequence of random variables \ { f _ n \ } of mean 0 is a ( wide-sense ) stationary time series if the covariance
9.
One of the ways for identifying non-stationary times series is the ACF will drop to zero relatively quickly, while the ACF of non-stationary data decreases slowly.
10.
Two commonly used forms of these models are autoregressive models ( AR ) and ARIMA ( autoregressive integrated moving average models ) on the other hand are used to describe non-stationary time series.
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