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