# Tagged Questions

Autocorrelation is the correlation of a series of data with itself at some lag. This is an important topic particularly in the analysis of time-series data.

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### Skewness, kurtosis and normality of a time series

I have a sample size of $21$ with $496$ observations.Can I presume an approximately normal distribution,and use a $t$-test to compare the difference in means, and difference in various financial ...
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### What to do with very low Durbin-Watson?

For 100 companies, I have collected (i) tweets and (ii) corporate website pageviews for 148 ...
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### Discriminant analysis with random effects

Is it possible to do discriminant analysis with random effects? Is there an R package for this? Context: I have habitat use data for two species of frogs from radio telemetry, but nested within ...
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### Regression to obtain autocorrelation measure (AR(1))

This is not homework. I am a frequent user on math.stackexchange, but I am learning a bit about time series models and came across this example. Any ideas would be greatly appreciated. A linear ...
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### Making new variable instead of correcting for temporal autocorrelation in a GLMM. Is it a valid alternative?

I am doing some forest disturbance research, in which the aim is to predict the probabilities of wind damage occurrence in forest stands of different site (altitude, slope steepness) and stand ...
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### Most appropriate way to make a time series stationary? (i.e. remove serial correlation?)

So I have this data set of 56 users with 52 weeks worth of weekly average data for blood pressure and exercise level recordings. I would like to use change point analysis ...
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### Automated procedure for selecting subset of data points w/ strongest correlation?

Is there some standard procedure (such that one might cite it as a reference) for selecting the subset of data points from a larger pool with the strongest correlation (along just two dimensions)? ...
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### Modeling a spatial trend by regression with the $(x,y)$ coordinates as predictors

I plan to include coordinates as covariates in the regression equation in order to adjust for the spatial trend that exists in the data. After that, I want to test residuals on spatial autocorrelation ...
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### Some questions about VAR-models, $\Phi$-matrix-coefficients and partial-(auto-)correlations

There is an abundance of literature about VAR-models, which teaches how to test preconditions, specify and estimate VAR-models for stationary and also cointegrated time-series. However, I'm still a ...
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### Autocorrelation from multiple time series samples

I have multiple samples of a time series (for example, the time series might be minutely samples from 12am to 3pm, and I have that for ten different days) and I'd like to compute the autocorrelation ...
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### 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 ...
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### Why autocovariances could fully characterise a time series?

I read from textbook that 'Autocovariance can fully charaterise the time series' joint distribution', I do not fully understand the connection between covariance and joint distribution here. Please ...
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### Moving average signal confidence

Please advise how best to approach the following; I have a trend following trading signal comprising a trailing simple moving average over n data points. The data is stationary. Currently i ...
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### How to find and describe regularities in a distribution of interarrival times of a recurring event?

I want to see if there are regularities in interarrival times of a recurring event in discrete time. I know that I can fit distributions to the interarrival time distribution, but are there other ...
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### Creating auto-correlated random values in R

We are trying to create auto-correlated random values which will be used as timeseries. We have no existing data we refer to and just want to create the vector from scratch. On the one hand we need ...
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### Does autocorrelation cause bias in the regression parameters in piecewise regression?

In simple linear regression problems, autocorrelated residuals are supposed not to result in biased estimates for the regression parameters. Can the same be said for piecewise regression? Suppose I ...
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### How to plot a correlogram [duplicate]

Possible Duplicate: Computing and plotting a correlogram I have spatial data for a grid of size 20x20. I wanted to know how I can plot a correlogram to see how much the data are correlated ...
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### Analyze spatial correlation from a plot [closed]

I want to know how random variables at a certain geographic location are correlated spatially. Lets say I have a certain function z depending on the spatial locations of the points. If I plot this z ...
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### What is the difference between serial correlation and having a unit root?

I may be mixing up my time series and non time series concepts, but what is the difference between a regression model that exhibits serial correlation and a model that exhibits a unit root? In ...