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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.

2 votes
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411 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 fi …