Timeline for Why does differencing time-series introduce negative autocorrelation
Current License: CC BY-SA 3.0
8 events
| when toggle format | what | by | license | comment | |
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| Nov 2, 2018 at 2:39 | comment | added | shani | How did you say that $\psi_j$ is less than one? e.g.: ARMA(1, 1) with $\phi = 0.9, \theta = 0.5$. $\psi_j = 1.4(0.9)^{j-1}$ for $j \geq 1$. So first few terms are not less than one? | |
| S Nov 26, 2013 at 4:15 | history | suggested | Kochede | CC BY-SA 3.0 |
fixed j+1 and j+2 typos
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| Nov 26, 2013 at 4:05 | comment | added | Kochede | By the way, in the same link above, author mentions that if you differenced series and got negative autocorrelation you may correct for it by adding extra MA-terms in your model for $Y_t$. While my first intuition when I see autocorrelation at a single lag is to add 1 AR-term (and this worked in my case). Do you have an idea what the author means? | |
| Nov 26, 2013 at 4:04 | review | Suggested edits | |||
| S Nov 26, 2013 at 4:15 | |||||
| Nov 26, 2013 at 4:02 | comment | added | Kochede | Thanks a lot! This is very insightful and exactly what I needed. You may have a typo - $j+1$ should be $j-1$ and $j+2$ should be $j-2$ - I corrected it. | |
| Nov 26, 2013 at 2:58 | vote | accept | Kochede | ||
| Nov 25, 2013 at 15:19 | history | edited | mpiktas | CC BY-SA 3.0 |
minor grammar adjustments
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| Nov 25, 2013 at 12:34 | history | answered | mpiktas | CC BY-SA 3.0 |