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#unit_root

Unit root

Feature of some stochastic processes

In probability theory and statistics, a unit root is a feature of some stochastic processes that can cause problems in statistical inference involving time series models. A linear stochastic process has a unit root if 1 is a root of the process's characteristic equation. Such a process is non-stationary but does not always have a trend.

Sun 28th

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Unit root Unit root test Imaginary unit Augmented Dickey–Fuller test Root (linguistics) KPSS test Dickey–Fuller test Decibel Stationary process ADF-GLS test
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