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The autoregressive (AR) model is a stochastic process modelling time series, which specifies the value of the series linearly in terms of the previous values.

3 votes
1 answer
1k views

Long term and short term effect of estimators on AR model

How do we find out the long term and short term effect of estimators on AR model?
Rein's user avatar
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2 votes
1 answer
1k views

Quantify volatility on a time series data

I am now working on a set of time series data and I would like to quantify the series' volatility. I have think of an approach which is first model it as some auto-regressive model like ARCH and comp …
Rein's user avatar
  • 205