Definition:Non-Stationary Model

Definition

A non-stationary model is a stochastic model for describing a time series which assumes that the underlying stochastic process does not remain in equilibrium about a constant mean level.

That is, it is a stochastic model with an underlying stochastic process which is itself non-stationary.

Also see

• Definition:Stationary Model

Sources

• 1994: George E.P. Box, Gwilym M. Jenkins and Gregory C. Reinsel: Time Series Analysis: Forecasting and Control (3rd ed.) ... (previous) ... (next):

$1$: Introduction:

$1.2$ Stochastic and Deterministic Dynamic Mathematical Models:

$1.2.1$ Stationary and Nonstationary Stochastic Models for Forecasting and Control