# Tagged Questions

218 views

### Bootstrapping residuals: Am I doing it right?

First of all: From what I understood, bootstrapping residuals works as follows: Fit model to data Calculate the residuals Resample the residuals and add them to 1. Fit model to new dataset from 3. ...
33 views

### Detection of activity areas in time series

I am working on 4-dimension time series in which I would like to detect anomaly patterns with varying lengths and shapes. The time-series are residuals generated by an evolving clustering method. The ...
39 views

### How to check the ARIMA model by simulating innovations?

I am working on a monthly river flow time series and somebody has asked me to check my model by simulating innovations (or something like that). Can somebody help me about how can we simulate and how ...
829 views

### Ljung-Box Statistics for ARIMA residuals in R: confusing test results

I have a time series I am trying to forecast, for which I have used the seasonal ARIMA(0,0,0)(0,1,0)[12] model (=fit2). It is different from what R suggested with auto.arima (R calculated ...
87 views

### Fitting time series models [closed]

I have two sets of time series data for 36 months. It contains seasonal trends with a 12-month cycle. How to determine whether it is a good model? The smaller the AIC, the better the model? Do I ...
250 views

### Does this histogram of residuals indicate that the residuals are effectively random?

I am studying a univariate and discrete time series. I know that residuals should be effectively random and have a good fit, and should have a bell shape. Does the plot below suggest that the ...
136 views

### Confusion about error term in ARMA-model when predicting future values

Let's say I'm fitting data for example to ARMA(1,1)-model: $x_t = \phi x_{t-1} + \epsilon_t + \theta \epsilon_{t-1}$. Now I estimate the parameters $\phi$ and $\theta$ and solve some values for ...
150 views

### How to understand the square of an AR(1) process?

I generate an AR(1) process as follows: x=arima.sim(list(order = c(1,0,0),ar=0.67),n=1000,sd=sqrt(0.55)) When I square it, and fit AR(1) to the squared process, ...
175 views

### Statistical test for whether a process is a red noise

We know that red noise is the same as a ﬁrst-order autoregressive (AR(1)) stationary Gaussian process with a positive correlation at unit lag. Does there exist some formal statistical test for red ...
256 views

### OLS: $E[\epsilon_{it}^T\epsilon_{it}] \not= 0$ in 1st equation biases standard errors in 2nd equation?

Suppose ${X_{it}},{Y_{it}}$ are time series with $X_{it}\sim N(0.1,1)$, ($\sigma^2(Y_{it}) = 1$ and $mean(Y_{it})$ is similar to that for $X_{it}$, but changes when the dummy = 1). and \$t \in ...
2k views

### Fitting multiple linear regression in R: autocorrelated residuals

I'm trying to estimate a multiple linear regression in R with an equation like this: regr <- lm(rate ~ constant + askings + questions + 0) askings and ...