Database Reference
In-Depth Information
Figure 8.8
Time series for differencing example
Figure 8.9
Detrended time series using differencing
If the differenced series is not reasonably stationary, applying differencing
additional times may help.
Equation 8.17
provides the twice differenced time series
for
t
= 3, 4, …n.
Successive differencing can be applied, but over-differencing should be avoided.
One reason is that over-differencing may unnecessarily increase the variance. The
increased variance can be detected by plotting the possibly over-differenced values
and observing that the spread of the values is much larger, as seen in
Figure 8.10
after differencing the values of y twice.
