September 2017
Beginner
244 pages
5h 20m
English
Content preview from Practical Time Series Analysis
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Differencing
The basic idea of differencing is taking differences between successive occurrences of the time series Δxt = xt - xt-1 such that Δxt have constant mean and variance and hence can be treated as a stationary series. The ADF test is based on the idea of differencing the original time series and therefore we will explain it after discussing various types of differencing techniques.