Tagged Questions

The tag has no wiki summary.

learn more… | top users | synonyms

1
vote
1answer
13 views

need derivation of join-count variance (spatial autocorrelation stat), know where it is?

I am using interlibrary loan to get Cliff and Ord's book Spatial Processes, but the semester just ended and it is slow now. On page 18ish of this book, Cliff and Ord show how the variance for the ...
3
votes
1answer
62 views

Interpretation of a Durbin-Watson test?

I have calculated a Durbin-Watson test and got as far as $$\eqalign{ d&=2.207551844, \\ dL&= 1.6164, \\ dU&= 1.7896. }$$ I want to test $$H_0 \gt 0,\ H_1 \le 0.$$ However, I do not ...
1
vote
1answer
45 views

Autocorrelation and Partial autocorrelation interpretation

I am learning about ACF and PACF graphs. I am not sure I understand how to interpret the one I got for my data. I have searched google for some ACF and PACF examples, and I found some samples of ...
2
votes
1answer
27 views

Durbin-Watson test for first order autocorrelation when interaction effects are present

I have a multiple linear regression model (OLS) that has a constant, 5 variables, and an interaction term between two of the dummy variables. I need to perform the Durbin-Watson test for first-order ...
2
votes
1answer
31 views

ACF and PACF of AR process with non-zero mean

Calculating the acf and pacf of an AR process with zero mean is straightforward, but does anyone knows how to proceed when the mean is not zero? Of course my intention is to calculate the theoretical ...
4
votes
0answers
35 views

Inducing autocorrelation by fitting the wrong ARMA?

I am trying to fit an ARMA(p,q) model to the mean equation of my return series. The problem is, that the acf and pacf are pretty not usable, i.e. it is hard to find a good model to take account of the ...
1
vote
1answer
36 views

Checking autocorrelation in non-parametric methods

I would like to forecast short-term electric load by using Artificial Neural Network and Support Vector Regression. However, there's one question that sticks in my mind. In such forecasting with ...
1
vote
1answer
52 views

What does the Semivariance tell me?

I am looking at a Semivariogram. I know it shows me the relationship between distance and semi-variance. I also know that at the end of the range the distance no longer auto correlates. What I am ...
2
votes
0answers
28 views

Correlated error term residual in logit regression what are my options?

I have estimated a model, with many interactions of both continuous and factor explanatory variables, which is to be used for prediction. My model has performed reasonably in out of sample testing. ...
0
votes
1answer
33 views

user-defined correlation matrix in r package nlme with negative values

I have a nonlinear model with residuals that are negatively autocorrelated at short distances. I can find no spatial correlation structures in nlme that can easily handle negative autocorrelation ...
0
votes
0answers
30 views

regression: handling negative autocorrelation in R?

I am running a regression in the R package nlme (but am not constrained to only that package). I am changing the spatial scale of the analysis over a few regression runs as a form of sensitivity ...
0
votes
0answers
44 views

Testing for autocorrelation of the residuals

I'm trying to test for autocorrelation in the residuals of an AR(p) model in stata using the command varlmar. The stata output is: "the exogenous variables may not be collinear with the dependent ...
3
votes
2answers
74 views

Confidence bands in case of fitting ARIMA in R?

I want to look at the acf and pacf of my data, to identify the model for my mean equation, so I want to fit an ARMA for my mean equation and later on model the conditional variance by a ARCH/GARCH (I ...
1
vote
0answers
18 views

A good primer on how people deal with cluster-wise autocorrelation in mixed models?

The courses that I've taken have been primarily in the economics department, but I've been learning more of stats more broadly recently. One thing that I don't understand well is how exactly people ...
0
votes
2answers
75 views

Need a clear and simple auto-regressive model example

This may be hard to find, but I'd like to read a well-explained auto-regressive model example that: uses minimal math extends the discussion beyond building a model into using that model to forecast ...
4
votes
2answers
101 views

ARIMA — Residual autocorrelation is non-significant upto lag 6 and significant beyond lag 6

I tried to fit an AR(1) model and was examining the estimates of the model. I had a question on the output (ran in SAS - Proc ARIMA): The residual auto-correlation up to lag 6 was non-significant (in ...
3
votes
2answers
233 views

Correlogram in R like in Stata?

In STATA I can create a "Correlogram" to find the appropriate lag order in case of time series. E.g. I know I can use the acf or Acf of the forecast package to calculate the ACF and PACF and to ...
2
votes
2answers
54 views

Omit 0 lag order in ACF plot

How can I omit the zero lag order in an acf plot? See this picture: generated by ...
1
vote
1answer
42 views

Fancy Autocorrelation plot of rugarch package?

On page 26 in the rugarch package you can see plots of autocorrelations. I want to use this autocorrelation plots, but not for my final model checking, but for my model identification. So these are ...
1
vote
1answer
61 views

What to do about Seasonality Patterns in ACF, Time Series Data

I'm dealing with a time series data and I'm trying to construct a time series model for this particular dataset. I'm new to R and tried using the the auto.arima ...
0
votes
0answers
29 views

Autocorrelation impact on the Coefficient of Variation

Many articles use the Coefficient of Variation (CV) to report variation in time series. But isn't the standard deviation, used to measure the CV, no more reliable when autocorrelation is present ? ...
1
vote
1answer
134 views

Help interpreting ACF- and PACF-plots

My ACF- and PACF plots are illustrated below: The first one is in original scale and the second picture is zoomed. What process would you classify this? AR, MA or ARMA? =) Thank you for any ...
0
votes
0answers
59 views

How to calculate confidence interval for autocorrelation- and cross correlation functions?

I would like to calculate the confidence interval for my autocorrelation function. Does this calculation differ in any way from the normal way of calculating confidence intervals? How would I ...
0
votes
0answers
39 views

How to decide the order of my ARMAX-model for each component?

I'm doing time series analysis with 78888 x 8 matrix of data. The matrix includes the response data (the series I'm interested in predicting) and exogenous data. The data is hourly sampled and ...
0
votes
0answers
64 views

Autocorrelation in Residuals for VAR model

I am making some macro three-variable VAR models in R, where one of my models have autocorrelation in the residuals, as tested by a B-G LM test. The two models are: ...
0
votes
0answers
25 views

Time delay estimation for non linear physical signals

I have a non linear physical system with 4 Inputs and 2 Outputs and I want to model it using a time series model such as NARX model. Because I'm new in system modeling and signal processing I do not ...
1
vote
2answers
66 views

Time-series autocorrelations all positive

I've got 36 months of timeseries data, and eyeballing it, it has a linear trend upward. I wanted to do a little more than just eyeball it though. So I put together a correlogram of autocorrelation ...
1
vote
0answers
125 views

How to measure the “average” autocorrelation of a time-series signal with itself

I have a short time series signal (say around 30 samples), and I would like to check whether or not it's oscillating. One approach I came up with was to measure the autocorrelation of the signal with ...
0
votes
0answers
58 views

Is there a serial autocorrelation test for FGLS-FE fitted with pggls function in R?

a simple question here: is there any AR1 and AR2 test for FGLS-FE fitted with the pggls function of plm package in R? (one example would be the Baltagi-Wu LBI test) Thanks for your attention!
1
vote
1answer
193 views

Reasons for autocorrelation in time-series residuals

Why are residuals usually autocorrelated in time-series data? Could it stem from the autocorrelation of the response variable? Is the reason that in some cases the differencing (i.e., the differences ...
0
votes
0answers
116 views

Variance of a series of correlated variables

I have started with a time series of 5000 random numbers drawn from uniform distribution with mean 0 and variance of 1. I then construct a Variance-Covariance matrix and use this to induce ...
5
votes
2answers
179 views

How to tell if residuals are autocorrelated from a graphic

When you do an OLS regression and plot the resulting residuals, how can you tell if the residuals are autocorrelated? I know there are tests for this (Durbin, Breusch-Godfrey) but I was wondering if ...
3
votes
0answers
105 views

Spatial autocorrelation of non-homogeneous point data in irregularly shaped sample plots

Let's assume we registered the position of all individuals of different plant species within 3 irregularly shaped sample plots that are very close the each other. As an example, I put 2 pictures with ...
1
vote
2answers
104 views

Help understanding the following picture of ACF

I'm having a bit trouble understanding the blue dotted lines in the following picture of autocorrelation function: Could someone give me a simple explanation, what they are telling me x) Thnx
2
votes
1answer
89 views

Forecasting model inputs that are both auto-correlated and are calibrated over time?

How does one account for model inputs that are both a) auto-correlated and b) calibrated over time? I'm interested in forecasting the outcomes of sporting events. Let's say that each team has a score ...
8
votes
2answers
344 views

What's the deal with autocorrelation?

To preface this, I have a pretty deep mathematical background, but I've never really dealt with time series, or statistical modeling. So you don't have to be very gentle with me :) I'm reading this ...
1
vote
0answers
29 views

Possible outcomes of approximate profile-likelihood estimator (APLE) for spatial autocorrelation

I've been working with spatial autocorrelation for a while and now I'm trying to move from more traditional estimators such as Moran's I or Geary's C to the new APLE estimator. I read Li's papers on ...
0
votes
0answers
30 views

What is Ljung-Box-Q-test and why do we need it? [duplicate]

Possible Duplicate: Help with the Ljung-Box test for time independence of residuals I'm learning to use Matlab's econometrics toolbox and I came across with this "Ljung-Box-Q-test"... Can ...
4
votes
1answer
114 views

Algorithm to produce autocorrelated uniformly distributed number

I would like to produce a time-series of autocorrelated probabilities (with a predefined mean level of autocorrelation). I've spotted this and this which I believe should give me what I'm looking ...
0
votes
2answers
81 views

Confusion related to the calculation of autocovariance

I have a confusion related to the calculation of autocovariance Suppose $X_t = \phi X_{t-1} + \epsilon_t$ Then how the autocovariance $E(X_{t+n}X_t) - \mu^2 = ...
2
votes
0answers
34 views

Confusion related to modelling of temporal correlation

I was a bit confused about the modelling of temporal correlation in a certain paper. Lets say, I have vector $\bf{x}$ of dimension m, and a time series $\bf{x_1},\bf{x_2},...\bf{x_N}$. Now I want to ...
0
votes
0answers
135 views

Multivariate values to acf() in R

I am trying to understand the concept of auto correlation and I am looking for some help to clear some doubts regarding my data. I have a time series data and it has repeated experiments. Each sample ...
0
votes
0answers
134 views

Generalized least squares with insignificant predictor variable

Suppose I have fitted an standard linear regression mode $Y=\beta_0+\beta_1X_1+\beta_2X_2+\beta_3X_3+\epsilon$. Based on the ACF plot or PACF plot of the residuals for this regreesion model, I found ...
0
votes
0answers
68 views

Autocorrelation of nonstationary IMA(1,1) process

I knwo that the autocorrelation in MA(1) process varies between -.5 and +.5, if we consider d(t)=c+e(t)−θ⋅e(t−1),then for positive values of Theta, autocorrelation is negative and for negative values ...
1
vote
0answers
29 views

Adding a history flag variable to panel data with possible auto-correlation

I have a pretty basic question. A client has given me a data set with tens of thousands of subjects. Each subject has from one to about ten separate records. These records cover successive ...
3
votes
2answers
94 views

Evaluation of Autocorr/Part Autocorr values

I am practicing MA and AR modelling by using autocorrelation and partial autocorrelation values. My data is in the image below; I can see that only at lag 12 there is a value that might be considered ...
0
votes
3answers
811 views

AR(1) selection using sample ACF-PACF

The following graph shows the ACF (sample autocorrelation function) and PACF (partial autocorrelation function) of the residuals in a linear regression. There is a sinusoidal decay in the ACF and two ...
2
votes
1answer
90 views

AcF and Stationarity

Very often in time series literature, it is remarked that if a series is non-stationary the AcF will decrease to zero very slowly while the opposite occurs for a stationary series. What's the basis ...
7
votes
1answer
497 views

Interpreting seasonality with ACF and PACF

I have a dataset where empirical intuition say I should expect a weekly seasonality (i.e., the behavior in saturday and sunday is different from the rest of the week). Should this premise be true, ...
0
votes
1answer
665 views

Measuring correlation or dependence between two data sets

Is there any statistical test or measure to evaluation the degree of correlation or dependence between two sets of data-points ?

1 2 3