Timeline for Relationship between two time series: ARIMA
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
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| S May 8, 2012 at 8:09 | history | suggested | naught101 | CC BY-SA 3.0 |
fix code appearing as tex
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| May 8, 2012 at 6:29 | review | Suggested edits | |||
| S May 8, 2012 at 8:09 | |||||
| May 6, 2012 at 5:16 | comment | added | Kees | Don't you answer your own question there? There is a common trend, we agree on that. Differentiating allows to look past the trend: How are fluctuations around the trend? In this case, the correlation between x and y happens with lag 0 and 8. The effect at lag 8 is also visible in the autocorrelation of ddf$dy. You would not know that without differentiating. | |
| May 5, 2012 at 20:50 | comment | added | Michael R. Chernick | I agree that cross correlation shows what relationship exists between the differenced series but my point is that these series seem to be related mainly because of the trends that differencing removes. | |
| May 5, 2012 at 20:31 | history | answered | Kees | CC BY-SA 3.0 |