cointegration

English - Turkish

Definition of cointegration in English Turkish dictionary

Eşbütünleşme

Ortak bütünlenen

English - English

Definition of cointegration in English English dictionary

The condition of two non-stationary time series whose linear combination is stationary

Cointegration is an econometric property of time series variables. If two or more series are themselves non-stationary, but a linear combination of them is stationary, then the series are said to be cointegrated. For instance, a stock market index and the price of its associated futures contract move through time, each roughly following a random walk. Testing the hypothesis that there is a statistically significant connection between the futures price and the spot price could now be done by testing for a cointegrating vector. (If such a vector has a low order of integration it can signify an equilibrium relationship between the original series, which are said to be cointegrated of an order below one.)

Etymology

() co- +‎ integration