# 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.

17
questions

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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 ...

**0**

votes

**0**answers

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 ...

**2**

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**0**answers

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 ...

**3**

votes

**0**answers

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 ...

**1**

vote

**0**answers

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 ...

**2**

votes

**1**answer

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 ...

**2**

votes

**0**answers

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 ...

**1**

vote

**2**answers

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&...

**-4**

votes

**1**answer

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 ...

**5**

votes

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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 $m$-...

**4**

votes

**1**answer

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 ...

**1**

vote

**1**answer

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 ...

**1**

vote

**0**answers

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 ...

**2**

votes

**1**answer

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 ...

**2**

votes

**1**answer

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 ...

**0**

votes

**1**answer

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 ...

**8**

votes

**1**answer

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 ...