the difference between non-stationary data and random data?
- Thread starter Fred_a
- Start date
- Tags random stationarity trend trend analysis
Conceptually very different term.
A simple example: consider a sequence of i.i.d. random variables \( X_t \) with finite mean and variance. Then it is a stationary time series. Next if you "integrate" it to form a random walk, i.e. \( Y_t = Y_{t-1} + X_t \), then it is not a stationary time series. But both are random, right?
A simple example: consider a sequence of i.i.d. random variables \( X_t \) with finite mean and variance. Then it is a stationary time series. Next if you "integrate" it to form a random walk, i.e. \( Y_t = Y_{t-1} + X_t \), then it is not a stationary time series. But both are random, right?