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Jxson99's user avatar
Jxson99's user avatar
Jxson99
  • Member for 8 years, 1 month
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8 votes
2 answers
22k views

Why do we deseasonalize data?

7 votes
1 answer
2k views

What's the inverse of the finite polynomial $\phi_p$ in an $\ ARMA(p,q)$ model?

7 votes
2 answers
3k views

How can I calculate a joint distribution based on marginal and conditional information?

5 votes
2 answers
3k views

What is the variance of the difference of two random-variable indicators with a chance of intersection between events?

4 votes
1 answer
3k views

How to calculate the autocovariance of a time-series model when the expectation is taken over different lags?

4 votes
1 answer
2k views

Error in the standard deviation when simulating an ARMA(1,1) using arima.sim

2 votes
1 answer
44 views

Where can I find sound information about Periodic Autorregressive Multivariate models?

2 votes
1 answer
85 views

Reference to equation of correlation of log-normal random variables

2 votes
1 answer
1k views

How to derive the distribution of a random variable as the absolute value of a uniform random variable

2 votes
1 answer
457 views

How to estimate the PDF of the logarithm of a uniformly distributed random variable?

2 votes
1 answer
338 views

How to using the Markov Inequality to find the upper bound for $\mathbb{P}(X > 2)$ given I only have information about $X^4$?

2 votes
1 answer
2k views

How to calculate the asymptotic p-value for a test on a Poisson i.i.d random variable?

2 votes
1 answer
2k views

How does the the variance of a moving average process vary with its order?

1 vote
1 answer
467 views

What does this statement about a forecasting lead time mean?

1 vote
0 answers
167 views

How to prove a sequence of random variables dependent on different random variables is a homogeneous Markov chain?

1 vote
0 answers
23 views

Finding the MAP for a function whose conditioning depends on an exponential integral

1 vote
1 answer
232 views

How to calculate the average age of observations in forecasting models of various types?

1 vote
0 answers
2k views

What is the variance of the forecast error for a horizon $\ h$?

1 vote
0 answers
11 views

Variance of parameter estimators in terms of $\ n$ observations in a linear time series model

1 vote
0 answers
65 views

Is there any correlation between forecasting errors from forecasting done at different origins?

0 votes
0 answers
44 views

What causes the degeneration of correlation in a simulated time series?

0 votes
1 answer
387 views

How to apply the conditional expectation of the multivariate normal distribution to fill gaps in data?

0 votes
0 answers
26 views

How to set the the variance of a stationary Gaussian AR(p) process given the variance of the innovation?

0 votes
0 answers
56 views

How to transform parameters to obtain an "unbounded" Johnson distribution?

0 votes
0 answers
206 views

How to carry out the recursive estimation of a covariance matrix?

0 votes
2 answers
32 views

When do you know if you can discard data during the estimation of a model's order and its parameters?

0 votes
0 answers
4 views

Should I sample or compute the innovation term in the recursive estimation OLS algorithm applied to time-series data?