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# What is STATIONARY DATA TIME SERIES?

Stationarity is used as a tool in time series analysis, where the raw data are often transformed to become stationary; for example, economic data are often seasonal and/or dependent on a non-stationary price level.
http://en.wikipedia.org/wiki/Stationary_process
Financial institutions and corporations as well as individual investors and researchers often use financial time series data (such as asset prices, exchange rates, GDP, inflation and other macroeconomic indicators) in economic forecasts, stock market analysis or studies of the data itself.
Stationarity A common assumption in many time series techniques is that the data are stationary. A stationary process has the property that the mean, variance and autocorrelation structure do not change over time.
http://www.itl.nist.gov/div898/handbook/pmc/section4/pmc442.htm
Time series: Data analysis and theory. New York: Holt, Rinehart. & Winston. Brigham, E. O. (1974). The fast Fourier transform. Englewood Cliffs, NJ: Prentice-Hall. ... and Smoothing of Stationary Time Series.The MIT Press. Wei, W. W. (1989).
http://en.wikipedia.org/wiki/Time_series
Time series data are very common in empirical economic studies. Figure 1 plots some frequently used variables. The upper left ﬁgure plots the quarterly GDP from 1947 to 2001; the upper right ... stationary time series {X t} is deﬁned to be
http://www.econ.ohio-state.edu/dejong/note1.pdf
Non stationary time series. Home Site Map Site Search Xycoon College Free Online Software Time Series Analysis - ARIMA Models - Non ... (URL), (access or printout date). Comments, Feedback, Bugs, Errors | Privacy Policy Web Awards ...
http://www.xycoon.com/non_stationary_time_series.htm
observed data. What operations produce a stationary process? Can we recognize/identify these in data? Statistics 910, #2 2 Moving Average ... of another time series, often formed from white noise. If we de ne fY tg from fX tgas Y t= X1 i=1 c iX t i then fY
http://www-stat.wharton.upenn.edu/~stine/stat910/lectures/02_stationarity.pdf
Chapter 11 Stationary and non-stationary time series G. P. Nason Time series analysis is about the study of data collected through time. The ﬁeld of time series is a vast one that pervades many areas of science and
http://www.cas.usf.edu/~cconnor/geolsoc/html/chapter11.pdf
Divide the time series into two sections (e.g. 1st half and 2nd half) and construct the CDF for each part. The CDFs should be the same if the series is stationary. ... How random are financial data series? 2.
http://quant.stackexchange.com/questions/2372/how-to-check-if-a-timeseries-is-stationary
Because this series is not stationary, we must transform it into a stationary time series so that we can build a model with it. ... Before we can generate forecasts upon a time series, we must be sure our data set is stationary.
http://analysights.wordpress.com/2011/01/13/forecast-friday-topic-stationarity-in-time-series-data/
In the following topics, we will first review techniques used to identify patterns in time series data ... The ARIMA method is appropriate only for a time series that is stationary (i.e., its mean, variance, ...
http://www.statsoft.com/textbook/time-series-analysis/
Any stationary time series can be represented with an ARMA model: Application. Plot and ARMA(1,1) and an AR(1) model with rho=0.7 and theta=0.4, and look at the AC and PAC functions. Prog: ARMA.prg. ... Date: 09/19/07 Time: 10:00 Sample: ...
http://userhome.brooklyn.cuny.edu/economics/muctum/EconometricsG/Stationary%20Time%20Series.doc
1.1 Time series data A time series is a set of statistics, usually collected at regular intervals. Time series data occur naturally in many application areas. ... s=−∞ asXt−s is a stationary time series with spectral density function fY (ω) =
http://www.statslab.cam.ac.uk/~rrw1/timeseries/t.pdf
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http://stats.stackexchange.com/questions/2077/how-to-make-a-time-series-stationary
The first step in all time analysis approaches is to check for stationarity, because if the data is stationary then many simplifying assumptions can be made. Stationarity. ... Time Series and Forecasting, Duxbury Press, North Scituate, Massachusetts.
http://etclab.mie.utoronto.ca/people/moman/Stationarity/stationarity.html
Time series analysis, which first came to fore with the publication of Norbert Wiener's seminal text Extrapolation, Interpolation, and Smoothing of Stationary Time Series with Engineering Applications (2) in 1949, has proved invaluable in many fields of data analysis.
http://financial-dictionary.thefreedictionary.com/Stationary+time+series
For financial data like the DJIA where there are never any values for weekend days, it is not necessary to provide missing values for weekend days. ... The models developed by DTREG are less sensitive to non-stationary time series than ARMA models ...
http://www.dtreg.com/TimeSeries.htm
Enter your data Row-wise starting from the left-upper corner, and then click the Calculate button for the test conclusion. Blank boxes are not included in the calculations but zeros are.
Types of Time Series Data. Continuous vs. Discrete. Continuous - observations made continuously in time Examples: 1. Seawater level as measured by an automated sensor. 2. Carbon dioxide output from an engine. ... A Note on Non-Stationary Data.
http://userwww.sfsu.edu/efc/classes/biol710/timeseries/TimeSeriesAnalysis.html
Figure 8 shows such data where the time series is a mean value, 100, plus a white noise error term, that is, the series is not only stationary, the lag correlation is 0. ... t series were stationary, a regression with time series errors as can be fit in PROC ARIMA or
http://www2.sas.com/proceedings/sugi30/192-30.pdf
Making a time series stationary to be able to apply modern time series methods. ... 10/18/05 Stat 170-Intro Time series/Sanchez 16 A separate handout containing the complete work on a time series similar to the airline data and the SAS program to do that work will be provided in class.
http://www.docstoc.com/docs/21200397/Making-a-time-series-stationary
Time series data: A set of observations on the values that a variable takes at different times. Cross-sectional data: Data of one or more variables, ... Differencing: Used to make the series stationary, to De-trend, and to control the auto-correlations.
Econometric Discussions ... "Hi, my study involves measuring the price elasticity, and income elasticity of ..." · "any ideas? cheers" ... "Ok so i've run the ADF test on all ...
http://forums.eviews.com/viewtopic.php?f=18&t=1791
Time series plots of stationary variables should have a well-defined mean and a relatively constant variance (i.e., no heteroscedasticity). ... Fitting a regression model to differenced and/or lagged data: 1.
http://people.duke.edu/~rnau/timereg.html
Time Series Analysis This (not surprisingly) concerns the analysis of data collected over time ... weekly values, monthly values, quarterly values, yearly values, etc. Usually
http://www.public.iastate.edu/~alicia/stat328/Time%20Series.pdf
We shall analyse data and make forecasts using stationary models, then investigate what can be done with non-stationary data. Books Chatfield, "The Analysis of Time Series", is probably the best in general ... A time series X is stationary if .
http://www.staff.city.ac.uk/~sc397/courses/2dsm/dsm03_7.htm
Time series data is data collected over time for a single or a group of variables. ... stationary series . Box-Pierce’ Q statistic tests the null hypothesis that all correlation up to lag . k. are equal to 0. This series show significant autocorrelation
http://dss.princeton.edu/training/TS101.pdf
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http://stats.stackexchange.com/questions/19715/why-does-a-time-series-have-to-be-stationary
Please (!) go read a book on basic time series analysis instead of just posting a question each time you see a new word. Michael On Thu, Mar 22, 2012 at 4:56 AM, sagarnikam123 <[hidden email]> wrote:
http://r.789695.n4.nabble.com/how-to-make-this-time-series-data-stationary-td4494907.html
in stationary time series – serial correlation causes a technical violation of an OLS assumption, leading to incorrect estimates of the standard errors. ... think of time series data in the context of political dynamics.
https://files.nyu.edu/mrg217/public/timeseries.pdf
To transform non-stationary data into a stationary time series. To remove seasonal trends . take 4th difference for quartly data. take 12th difference for monthly data. First Difference- The first difference of a time series is .
http://www.stat.rice.edu/%7Egpapkov/quals/Time%20Series%20Review%20Final.doc
For example, our time series data for skirt hems was for 1866 to 1911, so we can make predictions for 1912 to 1930 (19 more data points), and plot them, by typing: ... ARIMA models are defined for stationary time series. Therefore, ...
Locally Stationary AR Model. When the time series is nonstationary, the TSMLOCAR (univariate) and TSMLOMAR (multivariate) subroutines can be employed. The whole span of the series is divided into locally stationary blocks of data, and ...
http://support.sas.com/documentation/cdl/en/imlug/59656/HTML/default/timeseriesexpls_sect12.htm
Multivariate time series (MTS) data sets are common in various multimedia, medical and ﬁnancial application do-mains. ... time, i.e., the time series is not stationary, then the corre-lation coefﬁcients are not stable. For example, assume that
http://infolab.usc.edu/DocsDemos/icdm05.pdf
Statistics 626 ' & \$ % 8 Covariance Stationary Time Series So far in the course we have looked at what we have been calling time series data sets. We need to make a series of assumptions about our
http://www.stat.tamu.edu/~jnewton/stat626/topics/topics/topic8.pdf
statistical glossary - time series data ... Time Series. A time series is a sequence of observations which are ordered in time (or space).
http://www.stats.gla.ac.uk/steps/glossary/time_series.html
Time series methods take into account possible internal structure in the data: Time series data often arise when monitoring industrial processes or tracking corporate business metrics.
http://www.itl.nist.gov/div898/handbook/pmc/section4/pmc4.htm
Possibly non-stationary VAR models are fitted in the mAr package, which also allows VAR models in principal component space. More ... Time Series Data Data from Makridakis, Wheelwright and Hyndman (1998) Forecasting: methods and ...
http://cran.r-project.org/web/views/TimeSeries.html
Caveats in Using Time Series Data in Applied Econometric Modeling Data Should be Stationary Presence of ... A Spurious or Nonsensical relationship may result when one Non-stationary time series is regressed against one or more Non-stationary time series The best way to guard ...
http://www.emu.edu.tr/mferidun/1%20TSE.ppt
trend-stationary time series with deterministic trends. In fact, the relationship of any observed value to the sample mean is not a stable fact in such a nonstationary case. ... the claim is false for trend-stationary data. This last point is crucial.
http://econ.duke.edu/~kdh9/Source%20Materials/Research/6.%20Nonstationary%20Time%20Series%20and%20Common%20Cause.pdf
How can we transform the time series data from non-stationary to stationary? For data with deterministic trend, we can use either Trend-Stationary Process (TSP) or Difference-Stationary Process (DSP). For data with stochastic trend ...
http://www.hkbu.edu.hk/~billhung/econ3600/application/app01/app01.html
Here it is assumed that the time series and are stationary time series. For example is (weakly) stationary. if ... the data is stationary and doesn’t need to be differenced) When the time series is . flat and potentially slow-turning around a.
http://faculty.smu.edu/tfomby/eco6375/data/TIME%20SERIES%20REGRESSION%20NOTES.doc
Clements M., and D. Hendry, Forecasting Non-Stationary Economic Time Series, MIT Press, 1999. Maddala G., and I-M. Kim, Unit Roots, Cointegration, and Structural Change, Cambridge Univ. Press, 1999. ... However, using extensive time series data, ...
http://home.ubalt.edu/ntsbarsh/stat-data/Forecast.htm
How do I use differencing to obtain a stationary time series? An Excel sheet with both the data and results can be downloaded by clicking here.
http://www.kovcomp.co.uk/support/XL-Tut/demo-desc.html
Definition: A time series process is trend stationary if after trends were removed it would be stationary. Following Phillips and Xiao ... economic data; Top Related Searches time polynomial stationary time series writing a term paper writer note statistical models statistical model.
First, since time-series data tend to be non-stationary, determining the order ofintegrationor cointegrationofthe variables becomes important. The order of integration is the number of times a time-series must be di¤erenced to make it stationary.
http://carecon.org.uk/UWEMasters/Applied%20Econometrics/panel1.pdf
(Note: .) No assumptions need to be made for higher moments. Your data sample is , a realization of the joint distribution . This stationary condition is necessary for applying the methods described in this section, since it is required by most of the detailed derivations, especially the Wiener ...
http://www-ssc.igpp.ucla.edu/personnel/russell/ESS265/Ch9/autoreg/node8.html
Stationarity of Time Series: Tests in Set Theory ... in testing n-periods in a data series for stationarity of Mean and/or Standard Deviation ... when analyzing a Simple Moving Average ("SMA") Time Series, wouldn't the most stationary SMA be the n-period with the narrowest confidence ...