Obtaining a Stationary Time Series

Since the results presented in this chapter require that a series be stationary, it is necessary to consider the procedure for obtaining a stationary series. A nonstationary signal can be made stationary by taking the difference between two adjacent values. This procedure is called differencing. If the differences themselves are not stationary, then they can be differenced until a stationary differenced signal is obtained. However, it should be noted that differencing will lead to a loss of information in the signal and can introduce correlations where there are none. 

There are two types of differencing tme and periodic. In true differencing, the difference between adjacent values is taken, that is. 

On the other hand, in periodic differencing, the difference is computed between values that are some constant distance apart, that is. 

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