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Formal definition for Hurst exponent using self-similar stochastic processes.

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#reference-request #stochastic-processes #definition #time-series
49
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Two correlated AR(1) series

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#statistics #correlation #time-series #vector-auto-regression
43
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What is an adjective that distinguishes between a random walk and a fuzzed deterministic process?

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#terminology #random-walk #time-series
39
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What's the point on using logarithms before differencing a time series in ARIMA?

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#logarithms #machine-learning #time-series #vector-auto-regression
71
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Stationarity of a Stochastic Process

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#statistics #stochastic-processes #time-series
31
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Unidimensional variability measure for multivariate random samples (or time series)

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#probability #variance #time-series
375
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The only strictly stationary random walk in $\mathbb{R}$ is degenerate

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#probability-theory #statistics #stochastic-processes #time-series
232
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Forecasting with Kalman Filter with Exogenous Variables

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#statistics #time-series #kalman-filter
92
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Identifying stochastic process through its autocovariance function

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#probability #stochastic-processes #time-series
34
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How to judge second-order stationary?

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#probability #statistics #stochastic-processes #time-series
232
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Bounded AR(1) Process

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#stochastic-processes #time-series
253
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Order of a non-linear autoregressive exogenous (NARX) model

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#statistics #regression #nonlinear-system #time-series #discrete-time
236
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Approximating the spectral density of white noise by a moving average process

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#probability-theory #statistics #stochastic-processes #time-series
335
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Variance of random walk

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#solution-verification #variance #random-walk #means #time-series
50
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Is it possible to generate multi-step forecasts with the Kalman Filter (KF)?

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#time-series #kalman-filter

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