Econometrics: one step ahead forecast - page 59
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No, just individual words.))
So tell me, is it stationary or non-stationary?
;))
not familiar with that branch...
But the more complex constructions are considered, the less linear and stationary they are.
A bifurcation diagram would be very illustrative here.
The world is non-linear and non-stationary. Linearity or stationarity are only negligible blobs in the big picture.
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It is probably more correct to say that non-stationarity is the norm and stationarity is only an anomaly.
Non-stationarity is not a property of the world, it is a property of observing its phenomena. More precisely, when observations of completely different phenomena are mixed into one pile. For example, we observed temperature change in Africa, and then started measuring it in Antarctica, and then generally humidity in Brazil and presented it all in a single number series. Just because we have prices does not mean that there is one process behind their formation - there are several completely different and sometimes opposite manifestations.
Bifurcations of course take place, but there are stable areas as well. Without them there will be no bifurcation since it is a manifestation of contradictions accumulated in a stable part. Purely from life, you can compare it with revolutions: as long as the political system is stable it cannot be changed even by strong influences, but people's dissatisfaction with life is accumulating and when it has reached critical values, even a minor event can lead to a situation that will develop in this or that scenario. A student will be locked up by the police and mass protests and riots will ensue. Or maybe they won't, and everything will remain the same for a few days/months/years. It's the same in the market - a bifurcation is preceded by a steady stretch with an accumulation of contradictions. For example, the accumulation of unrecorded profits by the intraday traders. And of course the bifurcations and the processes that precede them can be of absolutely different scales.
What's the point of all this? We have to filter the bullshit. I mean the market :)
Non-stationarity is not a property of the world, it is a property of observation of its phenomena.
Non-stationarity is a property inherent in the world. Observation, on the other hand, is secondary, and depends on the instruments and the way they are used.
Non-stationarity is a property inherent in the world. Observation, on the other hand, is secondary, and depends on the tools and the way they are used.
What in the world is inherently non-stationary can you give an example?
We should abandon the idea of finding stationarity altogether. More precisely: in a highly non-stationary series, stationarity areas are the rare exception to the general rule.
I have long observed -- and not only on this forum -- long and futile attempts to find this very stationarity... But what is it for? Is it for the sake of sport? Or for profit? But the initial series -- which we need to deal with -- was non-stationary, and remains so. That is, the separation of this stationarity is of no practical use.
What makes you think that I consider the stationarity of the market? I have been on the forum for many years and have always said that the market is non-stationary.
The big fans of stationarity are the portfolioists with their efficient market. There are many such people, I think the vast majority, but I don't belong to them.
What in the world is inherently unsteady can you give an example?
Was the lack of a time range in the question originally intended? All processes tend towards an equilibrium state. Non-stationarity is the absence of detectable