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Michael
  • Member for 9 years, 1 month
  • Last seen more than a week ago
9 votes

The explosive AR(1) process with $\varphi>1$, where was this first represented as a stationary, but non-causal, time-series?

8 votes

SVD : Why right singular matrix is written as transpose

8 votes
Accepted

stochastic vs. deterministic trend in time series

8 votes
Accepted

OLS - Non stationary variables but stationary residuals - is this OK or not?

7 votes
Accepted

T-consistency vs. P-consistency

7 votes
Accepted

Looking for non causal time series in real life

7 votes

Does the central limit theorem imply the law of large numbers

7 votes

Difference between autocorrelation and partial autocorrelation

6 votes

Problem with proof of Conditional expectation as best predictor

5 votes
Accepted

Confusion on the connection between causality and stationarity and possible implications

5 votes
Accepted

Autocorrelation in residuals of a regression model with ARIMA errors (example in Rob Hyndman's book) - Part 2

4 votes

What are the "moment conditions" in the GMM method? Also: GMM vs IV vs 2SLS?

4 votes

How to recursively express an AR(p) process

4 votes

Probability density from Hilbert-Schmidt integral operator

3 votes

Stationarity and Ergodicity - links

3 votes

Why is ergodicity not a requirement for ARIMA models besides stationarity?

3 votes
Accepted

How is OLS estimator converging in quadratic mean equivalent to its variance matrix converging to $0$?

3 votes

Defining extremeness of test statistic and defining $p$-value for a two-sided test

3 votes
Accepted

Prove that the MLE exists almost surely and is consistent

3 votes
Accepted

Questions regarding Regularity Conditions in mathematical statistics

3 votes

Likelihood function when there is no common dominating measure?

2 votes
Accepted

Linear Returns vs Log Returns to make a Forex time series stationary

2 votes
Accepted

ACF of differenced MA(p) process

2 votes

Linear regression with "hour of the day"

2 votes

How to deal with a mix of I(1) and I(0) variables?

2 votes

Question on Convergence in distribution

2 votes
Accepted

Check stationary assumption after parameter estimation in ARMA model

2 votes

Difference between regression and approximation tasks

2 votes
Accepted

Stochastic Processes Definition and Uniqueness

2 votes
Accepted

What is the virtue of loading absolutely-summability in the definition of causality of ARMA model?