- Features
- The mean of the data (e.g. X: time, Y: price) is not constant.
- AR(1): Xt = b0 + b1*Xt-1 → b1≅1
- Test
- Dickey-Fuller test
- H0 : b1 - 1 = 0
- If H0 is not rejected, data has a unit root and is nonstationary.
Wednesday, January 5, 2011
Covaricence Stationary
NOT covariance stationary
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