Properties of Time Series Models

Properties of time series

• Mean Reversion
• Presence of Unit Root, autoregressive term indicating nonstationarity.
• Hurst Component: ($H$) is a measure used to characterize the long-term memory of time series.

Mean reversion VS stationarity

Testing for mean reversion and testing for stationarity are related but distinct concepts in time series analysis.

Key Differences:

• Mean reversion testing is focused on whether a time series will return to a specific level (the mean).
• Stationarity testing checks if the overall statistical properties of the series remain consistent over time.