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Results tagged with time-series
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user 18528
Time series are data observed over time (either in continuous time or at discrete time periods).
13
votes
2
answers
51k
views
How to interpret autocorrelation of residuals and what to do with it?
I was wondering what does it mean when time series residuals have autocorrelation? How should I deal with it?
- 5,907
4
votes
2
answers
410
views
Help with understanding stationarity
I'm new in time series and the concept of stationarity has been bugging me for a while :( I know the definition of stationarity but it is not 100% clear for me why for example we have to difference th …
- 5,907
5
votes
1
answer
25k
views
Step-by-step example of predicting time series with ARIMAX or ARMAX model?
Could someone give me a step-by-step example of time series prediction using ARIMAX or ARMAX model? The example doesn't need to be long or complicated. It could be for example forecasting temperature …
- 5,907
4
votes
1
answer
5k
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 them …
- 5,907
4
votes
2
answers
11k
views
Help interpreting ACF- and PACF-plots
My ACF- and PACF plots are illustrated below:
The first one is in original scale and the second picture is zoomed. What process would you classify this? AR, MA or ARMA? =)
Thank you for any he …
- 5,907
27
votes
2
answers
30k
views
What is the intuition of invertible process in time series?
I'm reading a book on time series and I started scratching my head in the following part:
Could someone explain the intuition for me? I couldn't get it from this text. Why do we need the process to …
- 5,907
1
vote
2
answers
1k
views
Help with my time series ARX model prediction?
I have created an ARX-model where I predict the nitrogen oxide levels based on past values of nitrogen oxide with past exogenous input values nitrogen dioxide, temperature, atmospheric particulate mat …
- 5,907
1
vote
0
answers
481
views
How to calculate confidence interval for autocorrelation- and cross correlation functions? [duplicate]
I would like to calculate the confidence interval for my autocorrelation function. Does this calculation differ in any way from the normal way of calculating confidence intervals? How would I calculat …
- 5,907
14
votes
4
answers
29k
views
Understanding the blue dotted lines in an ACF from R
I'm having a bit of trouble understanding the blue dotted lines in the following picture of autocorrelation function:
Could someone give me a simple explanation, what they are telling me?
- 5,907
17
votes
1
answer
10k
views
Question about sample autocovariance function
I'm reading a time series analysis book and the formula for sample autocovariance is defined in the book as:
$$\widehat{\gamma}(h) = n^{-1}\displaystyle\sum_{t=1}^{n-h}(x_{t+h}-\bar{x})(x_t-\bar{x})$ …
- 5,907
0
votes
0
answers
739
views
How to calculate the prediction interval for my 24-hour forecast?
I'm doing time series analysis and I would like to calculate the prediction interval. I have predicted the next 24 values for my time series, but now I would also like to calculate the prediction inte …
- 5,907