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auto-covariance gamma function

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#time-series
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If I split a stationary ARMA process into two parts, are they also stationary?

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#time-series #stationary-processes
67
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A beginner’s explanation for PCA on a multivariate time series

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#linear-algebra #statistics #svd #time-series #principal-component-analysis
53
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Modeling differential equation

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#discrete-mathematics #partial-differential-equations #finance #time-series
45
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Can you give me some clue on proofing that squared log-returns of a GARCH(1,1) time series is ARMA(1,1)?

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#probability-theory #statistics #stochastic-processes #finance #time-series
52
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minimising the square of the expected error in Gaussian time series model

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#probability #probability-theory #statistics #time-series #stationary-processes
195
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Geometric Brownian motion: Correlation in the increments when looking at the average value over some period?

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#stochastic-processes #brownian-motion #correlation #time-series
26
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I cannot see correlation in the ACF/PACF and author can

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#statistics #statistical-inference #correlation #time-series
263
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How to calculate autocorrelation at certain lag?

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#variance #correlation #time-series
249
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Doubt about SVD algorithm

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#matlab #svd #time-series
31
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Cointegration: Why is rank deficiency necessary?

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#time-series
977
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Detrending data standard deviations

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#statistics #standard-deviation #data-analysis #time-series
454
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Computing ACF of a causal AR(1) process

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#probability-theory #time-series
146
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Modeling a curve - Time Series or Fitting a Distribution?

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#probability-distributions #mathematical-modeling #curves #time-series
162
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Signal and Noise with every day examples

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#time-series

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