标题: Upward sloping time series curve [打印本页] 作者: malbec 时间: 2011-7-11 19:56 标题: Upward sloping time series curve
Why does upward sloping time series curve imply it is not covariance stationary and any problem for this time series analysis??作者: Kapie 时间: 2011-7-11 19:56
yes, that would be bad作者: redskins44 时间: 2011-7-11 19:56
Covariance stationary means that the mean of the time series is constant. If it's sloping upwards, it's not constant. It's not so much a problem as something that can be easily remedied by differencing the time series or fitting the trend.作者: iteracom 时间: 2011-7-11 19:56
You need to convert it to covariance stationary and then test for AR 1 and AR 2作者: WarrenB1 时间: 2011-7-11 19:57
It's not bad if it's a linear or log-linear time series, y = b0 +b1(t) +E. That doesn't require mean reversion if I remember correctly. If it's autoregresive, it needs to have a mean reversion (and not a unit root ie b1 must be significantly different from 1)
