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Time series are data observed over time (either in continuous time or at discrete time periods).

0
votes
1answer
I am studying the stationarity and invertibility conditions of AR processes. Concerning the stationarity condition of the simplest form of an AR(1) process (without constant, drift). Let us say that …
asked Nov 24 '11 by Andreas Zaras
1
vote
0answers
I have a time series with a dependent variable (electricity comsumption) measured on a daily basis. I have also an independent variable (unemployment) measures in monthly intervlas. I want to use an A …
asked Mar 8 '13 by Andreas Zaras
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votes
1answer
Hello, I want to ask what transfer function I should use to model a gradual permanent step intervention with increasing rate of growth. The relevant graph is presented at the attached image. I wan …
asked Dec 8 '11 by Andreas Zaras
1
vote
3answers
Let us say that we have an event - variable (1/ 0) that denotes the occurence of an event on a daily basis e.g. a strike. Let us now say that we have a continuous variable (sales) that that we want to …
asked Mar 6 '13 by Andreas Zaras
8
votes
2answers
The simplest form of a white noise process is where its observations are uncorrelated. We can check this by applying e.g. a portmanteau test such as Lung - Box or Box - Pierce. The series might be Gau …
asked Nov 9 '11 by Andreas Zaras
2
votes
0answers
I am studying the Dickey Fuller test. The book of reference is Introductory Econometrics for Finance by C. Brooks. I firstly consider the zero mean Dickey Fuller test that uses the "random walk" type …
asked Nov 22 '11 by Andreas Zaras
9
votes
1answer
I am trying to replicate the calculation that SAS and SPSS do for the partial autocorrelation function (PACF). In SAS it is produced through Proc Arima. The PACF values are the coefficients of an auto …
asked Nov 18 '11 by Andreas Zaras
4
votes
3answers
I have a time series and I want to check whether it has a unit root or not. I want to use the Dickey-Fuller test. How should I choose the regression equation from the three options: regression without …
asked Nov 9 '11 by Andreas Zaras
9
votes
3answers
I am occupied with ARIMA modelling augmented with exogenous variables for promotional modelling purposes and i have hard time explaining it to business users. In some cases software packages end up wi …
asked Nov 18 '14 by Andreas Zaras