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Flashcards in Book - Chapter 8 Analytical Theory Time Series Deck (21)
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1

What does timeseries mean

Ordered sequence of equally spaced values over time

2

What does timeseries analysis mean

Accounts For the internal structure of observations taken over time

3

What are the goals of timeseries analysis

To identify the internal structure of the time series. To forecast future events

4

What is the box Jenkins method

A RMA. Autoregressive moving averages

5

What does the box Jenkins method do

Models historical behaviour to forecast the future

6

What would you use box Jenkins Method /ARMA to do

Forecast. For example, next months sales, tomorrow’s stock price, hourly power demand

7

What three components do you need to model a timeseries

The trend term. The seasonal term. The random component

8

What does box Jenkins methodology assume

The random component is a stationary sequence

9

What makes a stationary sequence

Constant mean. Constant variance. Autocorrelation does not change over time

10

To obtain a stationary sequence what must the data be

Detrended and seasonally adjusted

11

How would you remove a simple linear trend

By subtracting a least squares fit straight line

12

ARMA model is also known as

The P, Q model

13

ARIMA as what to the ARMA model

Adds a difference in time

14

In Arima what does it mean

Autoaggressive intra dated moving average. It includes the detrending as part of the model

15

what is ARIMA also known as

The p d q model.

16

The Arima model, Multiple models need to be built in compared using

ACF and PACF

17

What is ACF

Autocorrelation function. Correlation of the values of the timeseries with itself. It helps to determine the order, Q, of a MA model

18

What is PACF

Partial autocorrelation function. And autocorrelation calculated after removing the linear dependence of the previous terms. Helps to determine the order, P, of a AR model

19

What is the quantity H in ACF referred to as

Lag

20

What is the white noise process

The Eire term and is used to represent random, independent fluctuations that are part of the timeseries

21

What is the PACF

After linear regression is used to remove the effect of the variables the PaCF is the correlation of what remains