AI engineering glossary · Time series recsys
What is cointegration?
Cointegration: A situation in which several non-stationary series each wander, but some combination of them stays stable, meaning they share a long-run link. It is used in pairs trading and in error-correction models.
Cointegration: an example
Two similar stocks drift, but their price gap keeps returning to a stable level.
Related terms
More Time series recsys terms
- Collaborative filtering
- Content-based filtering
- Conversion rate
- Correlogram
- Counterfactual evaluation
- Croston's method
- Cyclical component
- DeepAR
Where you learn it
Cointegration is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.