1 / 17

3 mo treasury yield borrowing costs Dow industrials

NY Times 18 Sept 2008 front page. 3 mo treasury yield borrowing costs Dow industrials. Stat 153 - 16 Sept 2008 D. R. Brillinger Chapter 3. mean function. variance function. autocovariance. Strictly stationary Normal/gaussian - all joint distributions jointly normal.

cchun
Download Presentation

3 mo treasury yield borrowing costs Dow industrials

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. NY Times 18 Sept 2008 front page 3 mo treasury yield borrowing costs Dow industrials

  2. Stat 153 - 16 Sept 2008 D. R. Brillinger Chapter 3 mean function variance function autocovariance

  3. Strictly stationary Normal/gaussian - all joint distributions jointly normal Wide sense stationary vs. second-order

  4. Properties of autocovariance

  5. Useful models Purely random Building block

  6. Random walk not stationary

  7. *

  8. Moving average, MA(q) From * stationary

  9. Backward shift operator Linear process. Need convergence condition

  10. autoregressive process, AR(p) first-order, AR(1) Markov * Linear process For convergence/stationarity

  11. a.c.f. From * p.a.c.f.

  12. In general case, Very useful for prediction

  13. ARMA(p,q)

  14. ARIMA(p,d,q).

  15. Yule-Walker equations for AR(p). Correlate, with Xt-k, each side of For AR(1)

More Related