May 01, 2012

Time Series I (Advanced Data Analysis from an Elementary Point of View)

What time series are. Properties: autocorrelation or serial correlation; other notions of serial dependence; strong and weak stationarity. The correlation time and the world's simplest ergodic theorem; effective sample size. The meaning of ergodicity: a single increasing long time series becomes representative of the whole process. Conditional probability estimates; Markov models; the meaning of the Markov property. Autoregressive models, especially additive autoregressions; conditional variance estimates. Bootstrapping time series. Trends and de-trending.

Reading: Notes, chapter 26; R for examples; gdp-pc.csv

Advanced Data Analysis from an Elementary Point of View

Posted at May 01, 2012 10:30 | permanent link

Three-Toed Sloth