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Tagged with moving-window autocorrelation
3 questions
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vote
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rolling mean series - strong autocorrelation
I need to works with time-series of rolling means of a certain variable that comes from the data. I have this rolling means for N different individuals. Call them Y. I would like to test some ...
- 190
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2
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Rolling autocorrelation vs whole series autocorrelation
Suppose we have some financial time series. When we calculate the standard ACF, $\mu$ is considered as the average of all series' values. However, if we have a volatile series, the average can be ...
- 21
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What is the autocorrelation function of a time series arising from computing a moving standard deviation?
Say I have a time series of observations and I compute a measure of the variance of that time series as the standard deviation (SD) in a rolling window of width $w$ and that window is moved in single ...
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