Non-stationary time series

Anna report abuse

My current task is to create a machine learning model for time-series forecasting. I have heard that it is very important to understand if your data is an example of stationary time-series or not. People say that without proper dealing with non-stationary time-series data the model's performance could be poor. Can somebody explain to me, please, what is the non-stationary time-series?

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JuanG report abuse

Hi @Anna

Non-stationary time-series is a time-series whose major statistical parameters change over time. The mean and standard deviation are examples of such parameters. If your time-series has a trend it is non-stationary, because at least its mean is changing over time. And there could be such time-series which behavior is changing rapidly at certain moments as well. It is especially intrinsic for finance data, for example. Suppose the price for some asset was going up, but then certain event has happened and it pushed the price downwards. This means that the statistical parameters of the price time-series have changed at the moment when the event happened ;) Hope, that helps.

Regards.

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