Tagged Questions

3
votes
2answers
72 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 ...
3
votes
1answer
246 views

Testing periodogram “peaks”: sine-like wave or AR/MA/ARMA noise?

I'm performing an harmonic fit to data I know (from physical constraints) come from a periodic source of the form $$\sum_j^M \sum_i^N a_{i,j}\sin(2\pi f_it)+b_{i,j}\cos(2\pi f_it)$$ using the ...
2
votes
1answer
309 views

Bias of autocorrelation function in finite sample for ARMA processes

I remember reading that, when estimating the autocorrelation function of a univariate ARMA time series using finite samples, the estimate is biased and specifically the lag-1 ACF is negatively biased ...