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Derivation of Double (Brown) Exponential Smoothing

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#time-series
174
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Is an AR(1) process with Bernoulli errors mixing or ergodic?

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#dynamical-systems #ergodic-theory #time-series #stationary-processes #mixing
19
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Finding the spectral measure of a of a weakly stationary process

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#time-series #stationary-processes
39
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Spectral density of $\{Y_t\}$ where $Y_t - \alpha Y_{t-1} = X_t + W_t$, where $\{X_t\}$ is an AR process and $\{W_t\}$ is white noise

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#statistics #time-series
40
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Could someone please help me figure out the p value of this ARIMA(p,d,q) model?

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#statistics #time-series #p-value
45
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Distribution of AR(1) process with unit roots - why does one need the Functional Central Limit Theorem?

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#brownian-motion #time-series
23
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Solve VAR(2) for the n-step ahead forecast

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#recurrence-relations #matrix-equations #recursion #time-series #vector-auto-regression
50
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Understanding correlation in the context of a time series, simulation and brownian motion

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#brownian-motion #correlation #time-series #simulation
12
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Incorporating the absolute difference and the relative difference in a single metric

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#statistics #time-series #robust-statistics
32
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Optimization Models and the chicken-and-egg problem

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#optimization #reference-request #mathematical-modeling #numerical-optimization #time-series
19
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Non-negative autoregressive model

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#least-squares #time-series #vector-auto-regression
55
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Find conditional MLE of AR time series

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#statistics #maximum-likelihood #time-series #log-likelihood
23
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Degrees of Freedom in PCA

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#sequences-and-series #mathematical-modeling #time-series #regression-analysis #principal-component-analysis
23
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Conditional mean of an ARMA($p,q$) process

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#statistics #time-series #stationary-processes
33
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reference for time-inhomogeneous random walk

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#markov-chains #markov-process #random-walk #time-series

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