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NY Times 23 Sept 2008 - time series of the day

NY Times 23 Sept 2008 - time series of the day. Stat 153 - 23 Sept 2008 D. R. Brillinger Chapter 4 - Fitting t.s. models in the time domain. sample autocovariance coefficient. Under stationarity, . Estimated autocorrelation coefficient. asymptotically normal. interpretation.

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NY Times 23 Sept 2008 - time series of the day

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  1. NY Times 23 Sept 2008 - time series of the day

  2. Stat 153 - 23 Sept 2008 D. R. Brillinger Chapter 4 - Fitting t.s. models in the time domain sample autocovariance coefficient. Under stationarity, ...

  3. Estimated autocorrelation coefficient asymptotically normal interpretation

  4. Uses of acf MA(q)? Seasonal component? mixing (asymptotically independent)? ergodic

  5. Estimating the mean Can be bigger or less than 2/N

  6. Fitting an autoregressive, AR(p) Easy. Remember regression and least squares normal equations

  7. AR(1) Cp.

  8. Fitting an MA(q). Later. There is an R program Fitting an ARMA(p,q). Later. There is an R program Estimating p, q, (p,q). Later. There is a criterion.

  9. Seasonal ARIMA. seasonal parameter s SARIMA(p,d,q)(P,D,Q)s Example

  10. Residual analysis. Paradigm observation = fitted value plus residual The parametric models have contained Zt

  11. Plot residuals vs. t Acf of residuals

  12. Portmanteau lack-of-fit statistic ARMA(p,q) appropriate?

  13. Model building (1) model formulation (2) model estimation (3) model checking All models are wrong but some are useful

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