Mean reversion

With Stationary time series the mean is a constant for the entire time series, and the variance is constant, so the probabily of a series drifting from it’s mean is limited. Thus, the series has a tendency to correct back to it’s mean when it drifts too far away.

How fast a series tends to revert back to the mean depends on the Autocovariance. Non-stationary time series do not have mean-reversion.


References

Stationary time series