Different kinds of stationarity
Stationarity can mean different things, and it is crucial to understand which kind of stationarity is required for the task at hand. For simplicity, we will just look at two kinds of stationarity here: mean stationarity and variance stationarity. The following image shows four time series with different degrees of (non-)stationarity:
Mean stationarity refers to the level of a series being constant. Here, individual data points can deviate, of course, but the long-run mean should be stable. Variance stationarity refers to the variance from the mean being constant. Again, there may be outliers and short sequences whose ...
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