Tagged Questions

40 views

why sinusoid pattern in correlogram

Why does the ACF of an AR(1) contains sometimes a sinusoid-like pattern? and what does it mean? EDIT I think the time series is fit to AR(1). As I understand it, in an AR model, the value of x ...
71 views

Which one of these looks stationary?

Step 1. To answer "Final Question" ( linked: "THE FINAL QUESTION : Order of differencing, to achieve stationary and interpretation of arima() , acf, pacf?") Expecting to find correct order of ...
32 views

Summing variance of autocorrelated timeseries

Problem: When trying to calculate the variance of timeseries sums I get a negative variance, mostly due to autocovariances at large lag steps. Does not seem realistic. I have a timeseries which is ...
57 views

Characterizing a time-series using autocorrelation lag values

I am seeking to characterize time-series data (specifically parameters derived from sensor data) for 18 patients collected over 20 days using autocorrelation (see plot below of autocorrelation ...
68 views

Interpreting correlogram to discover seasonal variation

As I have learned: if a time series consists of an arbitrary sequence of p numbers repeated many times, the correlogram has a dominant spike of almost 1 at lag p. Now, I have a stationary time series ...
27 views

Test for granger causality after fitting a GARCH(1,1)

I have two time series, where i wish to test for Granger causality of lagged values of $x$ on $y$, $y$ is changed to "rate-return" and $x$ is the positive or negative "rate-return", that is everywhere ...
107 views

Detecting outliers using correlogram

If there is an outlier in a time series, how does its correlogram behave? Is it possible to find outliers using a correlogram? EDIT I have such a Time series: ...
96 views

Why does differencing time-series introduce negative autocorrelation

For example, this mentioned here: link. I also saw this in my data. I wonder - does anyone know a good reference where this is explained and justified more rigorously with some math and for some ...
14 views

checking for autocorrelation with many observations and few time periods

How would I go about checking for autocorrelation if I had a few thousand observations for each time period and had about 15 different time periods? The data set I am working with has a lag variable ...
39 views

Heteroscedasticity in the context of general additive model

For my given data (identity link), my target is to check a political variable, i.e., I intend to check, if a certain impact, given by some treatment at a certain time, affects the intercept and slope ...
67 views

How to calculated Confidence Interval for autocorrelated and lognormally distributed data?

My data is autocorrelated and is lognormally distributed, how can I calculate Confidence interval of that set of data?
41 views

Does this autocorrelation plot look correct?

I have time series data that looks like this and I'm getting an autocorrelation plot for this time series as That is zero autocorrelation for every lag. But this would mean that the time-series ...
106 views

GLM with Temporal Data

This is my first post on here, looking for some help. I am relatively new to analysis of temporal datasets. I have experience with R and developing linear models, so I am trying to figure out if the ...
70 views

Relation between autocorrelation function and periodogram in time series analysis

I was wondering if anyone could give me some insight on the relation between the ACF and the periodogram of a time series. I have a bunch of timeseries and their ACF's and periodograms are typically ...
46 views

Forecasting time-series ahead by multiple time horizons

Suppose that I have daily data on the population of a small village, given by $Y(t)$, as well as daily data on various factors that are relevant to the size of the population in the future, given by ...
66 views
+50

Temporal autocorrelation in perMANOVA?

I have a data set where samples are collected once per year for 15 years at a number of sites. I am worried that these data are temporally autocorrelated and was trying to figure out if I need to ...
121 views

Autocorrelation and trends

What is the relation between the autocorrelation and the trend? Can a trend exist in a time series of independent variables? And in time series with a non-zero autocorrelation, does a trend always ...
36 views

Spatial autocorrelation (SAC) while analysing survey data

I am confused about some aspects of spatial autocorrelation usind survey data (survey which is repeated every year). I have data from 1991 to 2012 with sampling region pretty consistent every year. I ...
166 views

SARIMA estimation

I am trying to manually estimate the non-seasonal components of an SARIMA (p,d,q)x(P,D,Q)[s]. I thought the estimation is going the same way like in ARIMA, but the output says somehow something ...
112 views

Time series: correcting the standard errors for autocorrelation

I have performed a number of tests to detect any presence of autocorrelation in my monthly return series. The test results confirm that the standard errors are not independent. A Durbin-Watson test ...
208 views

Autocovariance of an ARMA(2,1) process - derivation of analytical model for $\gamma( k)$

I need to derive analytic expressions for the autocovariance function $\gamma\left(k\right)$ of an ARMA(2,1) process denoted by: $y_t=\phi_1y_{t-1}+\phi_2y_{t-2}+\theta_1\epsilon_{t-1}+\epsilon_t$ ...
146 views

AR(1) coefficient is correlation?

Is the ar1 coefficient from an AR(1) model the "first order correlation of the noise" of a time series? I'm using R's aws package and one of the arguments of the ...
46 views

Is it necessary to check ergodicity in estimation of autocorrelation function?

Given a sample path from a process supposed to be stationary, I saw the sample autocorrelation function of the sample path is used to estimate the autocorrelation function of the process. But this ...
72 views

Lagged term in time series with stationary errors: too good to be true?

I often have datasets where there are many animals, in several treatment groups, and each animal's body weight is measured at regular intervals over the course of its lifetime. The response of body ...
132 views

Nonlinear regression: heteroskedasticity and correlated residuals

I'm performing regression analysis of some data. I believe I have to use a non-linear model with the form $y = at^b + c$ where $t$ is time. A log transform won't linearize the data here because of the ...
89 views

Residuals in double seasonal exponential smoothing

I have a time series with muliple seasonal cycles, which are 24 and 168 hours for my case. I would like to use Double Seasonal Exponential Smoothing method to forecast, which was published by James W. ...
68 views

Estimating second-lag PAC coefficients through regression (with EViews 7)

Full disclosure: this is part of a homework, but only 1/4th of one of 5 excercises. So here goes: I have two AR(2) time series generated(both are in the attached datafile). Their specifications are: ...
54 views

VAR with dummies, how to analyze dummy effect?

I'm currently trying to perform a VAR model analysis. I have the following variables, all on a one-minute scale, with 900 entries. Put in eViews as endogenous: Y1: Amount of tweets per minute Y2: TV ...
48 views

Regressing coffee beans in US to coffee beans in EU

We're trying to model two time series: a random walk (independent variable) vs. the sum of this random walk and a mean-reverting process. For example: coffee bean 100kg prices (EU) vs. coffee bean ...
58 views

Applying ARIMA in R

Small question as a follow up from this topic: Relationship between two time series: ARIMA I am trying to reproduce the above through R. In the first steps, IrishStat applies AR(1) on doubly ...
72 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 ...
165 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 ...
134 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 ...
594 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 ...
397 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 ...
186 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 ...
63 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 ? ...
460 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 ...
155 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 ...
131 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 ...
42 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 ...
108 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 ...
203 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 ...
84 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!
318 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 ...
153 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 ...
157 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
120 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 ...
770 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 ...
31 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 ...