Stationary time series


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Stationary time series

A longitudinal measure in which the process generating returns is identical over time.

Stationary Time Series

In statistics, a time series in which the data in the series do not depend on time. That is, the mean, variance, and covariance of all data in the time series are adjusted to reflect true values not dependent on time or seasonality.
References in periodicals archive ?
By taking natural log transformation and successive differencing, one can convert the non stationary time series into a stationary series.
Equation 1 contains no intercept and trend; this means that X is a stationary time series with a zero mean if the null hypothesis is rejected.
1949), Extrapolation, Interpolation and Smoothing of Stationary Time Series, Chichester, Wiley.
1938), A Study in the Analysis of Stationary Time Series, 2nd edn, 1954, Almqvist and Wicksell.
While applying unit root tests, if structure breaks are not taken into account, it is possible that even a stationary time series may show presence of unit root.
Shocks to a stationary time series may be temporary.
In a previous article in this Journal (Haslag, Nieswiadomy, and Slottje, 1991), we provided evidence consistent with the notion that the net discount ratio is a stationary time series.