Timeline for What does my ACF graph tell me about my data?
Current License: CC BY-SA 3.0
9 events
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| Dec 13, 2014 at 21:52 | history | edited | Aksakal |
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| Dec 13, 2014 at 12:24 | comment | added | javlacalle | By persistence I meant how much the observation at time $t$ is influenced by the previous observations. High persistence usually creates a trend pattern in the series and is related to autocorrelations that decay (or go to zero) slowly; it can also be thought as the memory of the series to past shocks (e.g, in a random-walk the effect remains for ever since it is precisely an accumulation of shocks over time). Time series characterised by slowly decaying ACF will usually exhibit a smooth pattern and can be classified as long-memory time series. | |
| Dec 13, 2014 at 5:11 | answer | added | Zachary Blumenfeld | timeline score: 7 | |
| Dec 13, 2014 at 0:17 | comment | added | Ben Gerry | Glen_b - Yep, this is an exercise. Trying to get my head around some of the core features of the module. I did take a very good look through the related questions and didn't quite get it. I'm familiar with this data and I feel like a short example answer would help me greatly. Javlacalle - Thank you for the reply. There is another part to the exercise in which you are required to suggest a relevant ARMA model. I understand that part I think... comparing the ACF to the PACF and looking at whether they cut off or tail off. A little confused about your 'persistence of data'. :( | |
| Dec 12, 2014 at 22:02 | comment | added | javlacalle | You can discuss and compare the persistence of the data in each series and whether this persistence creates a trend. You can also comment whether the ACF suggests some transformation to the data to render it stationary before choosing and fitting an ARMA time series model. | |
| Dec 12, 2014 at 21:37 | comment | added | Glen_b | When you say "I am asked to comment on them" -- is this for some class? Also, you may find some of the results on this search helpful. Finally, the first link under "Related" in the sidebar to the right may be of some assistance. | |
| Dec 12, 2014 at 21:37 | history | edited | Glen_b | CC BY-SA 3.0 |
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| Dec 12, 2014 at 20:47 | review | First posts | |||
| Dec 12, 2014 at 21:11 | |||||
| Dec 12, 2014 at 20:46 | history | asked | Ben Gerry | CC BY-SA 3.0 |