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17 Cards in this Set

  • Front
  • Back
realization of a time series
an ordered set
(...y-2, y-1, y0, y1, y2...)
sample path
a finite subset of a realization
(y1......yT)
covariance stationarity
the mean and covariance structure is stable over time
covariance structure
the covariances between current and past values
autocovariance at displacement T
the covariance between yt and yt-T
derive the autocorrelation fn from the autocovariance fn
#1
autocorrelation
the simple correlation between Yt and Yt-T
partial autocorrelation
measure correlation between Yt and Yt-T after controlling for the effects of Yt-1.......Yt-T+1
white noise
zero mean
constant variance
and no serial correlation
Gaussian white noise
normally distributed white noise
LYt
Yt-1
L^2Yt
Yt-2
PAC (ma)
if theta>0, oscillating dampening
if theta<0, one sided dampening
AC (ma1)
drops off after 1
AC (maq)
drops off after q
MA model
short memory
AC (ar1)
if phi>0, one sided dampening
if phi<0, oscillating dampening