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A stochastic process describes evolution of random variables/systems over time and/or space and/or any other index set. It has applications in areas such as econometrics, weather, signal processing, etc. Examples - Gaussian process, Markov Process, etc.

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I am a econometrics student, and I've to understand what type of process the one in the image below is. I am not able to go back to the main classic stochastic processes (AR, MA, ARMA, ARCH/GARCH). In …
asked Nov 25 '18 by White Noise
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What does it mean to compute the autocorrelation between two different time istances in a time series? I don't well understand the concept, which is the sense of measuring between two time istances of …
asked Nov 26 '18 by White Noise
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Why when I compute the autocovariance function of a non-zero mean AR(1), X(t)-u=Φ(X(t-1)-u)+ε the presence of the mean does not change my result and so the formula should be the same of a zero-mean …
asked Dec 19 '18 by White Noise
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The main question is: an AR(1)/ARCH(1) process has the variance of the ARCH(1)? I've tried to compute the unconditional variance of an AR(1)/ARCH(1) model, so an AR(1) in which the noise is modelled a …
asked Jan 15 by White Noise
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When, I fit an ARMA model to data, I look at the standardized residuals plot to assess if they behaves like uncorrelated random variables with zero mean and costant variance (if the model is good). Li …
asked Jan 19 by White Noise