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Results tagged with time-series
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user 223871
Time series are data observed over time (either in continuous time or at discrete time periods).
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vote
Accepted
Is autocovariance of a deterministic time series always zero?
If you assume $a$ and $b$ are constant, then you could calculate the autocovariance of the first order as
$$Cov[y_t, y_{t-1}] = E[(y_t - E[y_t])(y_{t-1} - E[y_{t-1}])]$$
You get $$E[y_t] = E[a + bt …
- 292
4
votes
1
answer
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How to interpret the constant for an ARMA model
I'm trying to fit an ARMA(1,0) model for a timeseries that start at $10$ and drops slowly to $4$ in around $180$ steps. For this, I've tried to fit an ARMA model in python using the following:
# cont …
- 292