Non-Stationarity in Time-Series Analysis: Modeling Stochastic and Deterministic Trends.

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Tác giả: Jonas M B Haslbeck, Oisín Ryan, Lourens J Waldorp

Ngôn ngữ: eng

Ký hiệu phân loại:

Thông tin xuất bản: United States : Multivariate behavioral research , 2025

Mô tả vật lý:

Bộ sưu tập: NCBI

ID: 160432

Time series analysis is increasingly popular across scientific domains. A key concept in time series analysis is stationarity, the stability of statistical properties of a time series. Understanding stationarity is crucial to addressing frequent issues in time series analysis such as the consequences of failing to model non-stationarity, how to determine the mechanisms generating non-stationarity, and consequently how to model those mechanisms (i.e., by differencing or detrending). However, many empirical researchers have a limited understanding of stationarity, which can lead to the use of incorrect research practices and misleading substantive conclusions. In this paper, we address this problem by answering these questions in an accessible way. To this end, we study how researchers can use detrending and differencing to model trends in time series analysis. We show
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