Questions tagged [time-series]

The analysis and inference about data observed over a general(continuous or discrete) time space. Usually related to stochastic processes and will probably receive better response under that tag.

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182 views

A new method for processing music scores?

I have developed a method and python script: https://github.com/githubuser1983/algorithmic_python_music which allows the user to input a midi file and then chose a few numbers as parameters, and the ...
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42 views

Meaning of coefficient of MA($q$)?

I know well the meaning of coefficents of linear regression model. $$y= \beta_0+\beta_1x_1+\cdots+\beta_px_p$$ $\beta_j$ ($j=1, ... , p$) is the change of $y$ when $x_j$ is increased by one unit and ...
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64 views

Convergence of random operators

I'm a statistician not versed in functional analysis and operator theory. I wish that I might not find a wrong place for my question. All my questions are trivial in the scalar time series case, but ...
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72 views

Probability measure on $\mathbb{R}^n$ with given marginals and given correlation matrix

In all what follows, let $\mathcal{P}(\mathbb{R}^n)$ denote the set of probability measures on $(\mathbb{R}^n, \mathcal{B}(\mathbb{R}^n))$ and $\mathcal{C}_n$ the set of $n \times n$ correlation ...
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24 views

Deriving periodical processes from a finite time series

Suppose we have a finite time series of real-world events measured at $(t_k), k \in \mathbb{N}$ with $(t_{k-1} < t_k)$. The content of the actual events is irrelevant. I would like an automated ...
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1answer
130 views

Temporal generalization of graphs: density vs $n$ and $m$?

In short: we generalize graphs to the temporal case, but fail to fully preserve the usual relation between density, number of vertices, and number of edges; how to make better? Context. We propose a ...
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180 views

Cointegration of (multiple) time series

Some time ago I stumbled upon the notion of cointegration of time series (see the wiki for some basic fact). Unfortunately, my knowledge of time series is a bit sketchy, and moreover I was able to ...
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2answers
110 views

Counterexample for absolute summability of autocovariances of strictly stationary strongly mixing sequence

Suppose $(X_i)_{i\in\mathbb{Z}}$ is a strictly stationary, strongly (i.e. $\alpha-$)mixing sequence of real random variables. If we have $\mathbb{E}[|X_1|^{2+\epsilon}]<\infty$ for some $\epsilon&...
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250 views

Reference request in optimal stopping [closed]

I am given the following task. Distributed over a trading day, I am supposed to buy a certain quantity of a good. The price of this good changes during the day. The goal is to buy the required ...
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109 views

Theoretical justification of time-series forecasting using Takens' embedding

This is a cross-posting where I couldn't get an answer. In the meantime I have tried to improve the original logic: As in Takens original paper about his embedding theorem, consider a compact $m$-...
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1answer
295 views

Support of bivariate joint distribution of stationary and ergodic sequence

Let $\{X_t\}_{t\in \mathbb{N}}$ be a strictly stationary and ergodic sequence of real valued random variables and let the support of $X_1$ equal $[-1,1]$. Can the support of $(X_1,X_2)$ equal the unit ...
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1answer
129 views

Calculate Average and Correlation of WSS Random Processes

Given two stochastic processes, $X[n]$ and $Y[n]$, both being WSS (wide state stationary) and independents. What would be the Average and Autocorrelation function of $Z[n] = Y[n] X[n]$? Is the ...
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65 views

Calculating right values of Periodogram using Fourier Analysis

In the book, Economic Cycles: There Law and Cause By Henry Ludwell Moore, he plots Periodogram of rainfall of Ohio valley. He uses 72 years data (1839-1910) and tries to find the most dominant cycle ...
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1answer
79 views

Quantifying an increasing spacing between data points

Is there a measure or statistic that could quantify a steady increase in the spacing between data points in a time series? For instance, in the figure, the points are clustered and dense near 0, but ...
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1answer
81 views

Relation between invertibility and strong mixing of a time series

Setup: I have a sequence of stationary ergodic random variables $(\epsilon_t)_{t\in\mathbb{Z}}$ and a function $\phi:\mathbb{R}\times \mathbb{R} \rightarrow \mathbb{R}$. Define the sequence of random ...
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1answer
64 views

Estimating operators of functional linear processes

Let $H= L^2[0,1]$ be the space of measurable and square integrable functions from $[0,1]$ to $\mathbb{R},$ let $(\varepsilon_k)_{k \in \mathbb{Z}}$ denote the iid (or strict stationary) $H$-valued ...
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984 views

Fourth moments of Gaussian processes

I am working on a topic outside my main research area, so I am afraid I am reproving obvious results, so I would like to ask for a reference. Google didn't help, mostly because I am looking for ...