Beruflich Dokumente
Kultur Dokumente
Process
Inthisissue,thesecondtutorialinourdatapreparationseries,wewilltouchonthesecondmost importantassumptionintimeseriesanalysis:Stationarity,ortheassumptionthatatimeseriessample isdrawnfromastationaryprocess. Wellstartbydefiningthestationaryprocessandstatingtheminimumstationaryrequirementsforour timeseriesanalysis.Thenwedemonstratehowtoexaminesampledata,drawafewobservations,and highlighttheintuitionsbehindthem.
Background
Inamathematicalsense,astationaryprocessisastochasticprocesswhosejointprobabilitydistribution doesnotchangewhenshiftedintimeorspace.Consequently,parameterssuchasthemeanand variance,iftheyexist,alsodonotchangeasaresultofashiftintimeorposition.Thisisoftenreferred toasthestrictformofstationaryprocess. Let { X t } beastochasticprocess,where FX ( xt1 , xt2 ,..., xtN ) isthedensity(mass)distributionfunctionof thejointdistributionof { X t } .Then { X t } issaidtobestationaryif,forallvaluesofshift( )andall valuesof {t1 , t2 ,..., t N } ,
FX ( xt ) FX ( xt )
Sothat,
DataPreparationStationarity
SpiderFinancialCorp,2012
E[ xt ] E[ xt ] E[ xt xt ] E[ xt xt ] mx ( )
TheWSSisalsoreferredtoasafirstorderstationaryprocess.Furthermore,theWSSdefinitionleadsto thefollowingconclusions: 1. Thattheautocovariance()andautocorrelationfunctions()areonlydependenton shift over time 2. Theautocovariance( and autocorrelation functions ()aredependentontheabsolute valueoftheshift():
Note:Fortimeseriesanalysis;weshallonlyconcernourselveswiththeWSSformofstationaryprocess.
1. Visual Method
Beforewedelveintostatisticaltestsforstationarity,letsdemonstrateinplainwordshowtoexamine forstationarityusingatimeseriesplot.Keepinmindthatwearelookingforarelativelystablemean andvarianceovertime.Mypreferredmethodistoplotthesampledata,movingaverage,and exponentialweightedvolatilityonthesamegraph. The(weighted)movingaverage(WMA)isaproxyfortheprocesssmarginalmean. Theexponentialweightedvolatility(EWMA)isaproxyfortheprocesssmarginalstandard deviation.
Examinethestabilityofthemeanandvarianceovertime.
Example
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LetslookattheIBMstockdailyclosingpricesprocessbetweenJanuary2,2012andtoday(April3rd, 2012):
Example:
LetslookatthedailylogreturnsofIBMstock:
DataPreparationStationarity
SpiderFinancialCorp,2012
2. Statistical Test
Inpractice,thecommonreasonfornonstationarityinsampledataisthepresenceoftrendand integration(i.e.unitroot)betweentheobservationsthemselves. Anumberofstatisticaltestscanbeutilizedtoexaminethestationaryassumptionsbydecomposingthe processintothreeelements:adeterministictrend,arandomwalk(unitroot),andastationaryerror. Thefollowingtestsarecommonlyusedtoestablishthestationaryassumptions: (1) TrendstationaryKwiatkowskiPhillipsSchmidtShin(KPSS) (2) UnitrootTestorrandomwalktestAugmentedDickeyFuller(ADF)
DataPreparationStationarity
SpiderFinancialCorp,2012