In econometrics, cointegration is a statistical property that describes a long-run equilibrium relationship among two or more time series variables, even if the individual series are non-stationary (i.e., they contain stochastic trends). In such cases, the variables may drift in the short run, but their linear combination is stationary, implying that they move together over time and remain bound by a stable equilibrium.
In econometrics, cointegration is a statistical property that describes a long-run equilibrium relationship among two or more time series variables, even if the individual series are non-stationary (i.e., they contain stochastic trends). In such cases, the variables may drift in the short run, but their linear combination is stationary, implying that they move together over time and remain bound by a stable equilibrium.
More formally, if several time series are individually integrated of order d (meaning they require d differences to become stationary) but a linear combination of them is integrated of a lower order, then those time series are said to be cointegrated. That is, if (X,Y,Z) are each integrated of order d, and there exist coefficients a,b,c such that is integrated of order less than d, then X, Y, and Z are cointegrated.
Discovered by embedding cosine similarity (sentence-transformers MiniLM, 384-dim).