Questions tagged [autocorrelation]
Autocorrelation (serial correlation) is the correlation of a series of data with itself at some lag. This is an important topic in time series analysis.
1,744
questions
1
vote
0
answers
42
views
Why does accounting for autocorrelated residuals barely help parameter estimation in distributed lag models
This problem has been plaguing me for a long time. Basically, I have a distributed lag model $$y_t=\sum_{i=0}^{p} \beta_i x_{t-i} + u_t.$$
The regression problem is a bit misspecified, so I end up ...
0
votes
0
answers
15
views
Tradeoff between autocorrelation and memory in a GLMM
I am working with a large dataframe in R. It is a BACI design (Before-After-Control-Impact). I am interested in seeing if the interaction between Treatment (0 = control, 1 = impact) and Period (Before,...
0
votes
0
answers
7
views
Is the OECD BCI Dataset fit for use with Linear Regression?
I am wondering if the OECD Business Confidence Index can be utilised by a linear regression model for time-series data.
I have had a look at the βbasis of prep, for the data and I am rather confused (...
1
vote
0
answers
24
views
How should I go about completely decorrelating a digital signal?
So I'm working on real time signal compression, and I need to come up with the best convolution to minimize the entropy of incoming data (which I will then compress), which I understand is achieved by ...
1
vote
0
answers
16
views
R - Why is bgtest showing no autocorrelation when order is set to a higher number, but shows autocorrelation at order = 1
Upon reading, I saw that bgtest (Breusch-Godfrey test, from lmtest pkg) can diagnose autocorrelation of higher orders than just 1, which is the maximum order the dwtest (Durbin-Watson test, from ...
0
votes
0
answers
13
views
Alternative method to deriving autocorrelation function of stationary AR(2) process [duplicate]
I have read this question/answer:
Autocorrelation of a stationary AR(2) process
How can we derive this using Expectation.
Let $Y_t = \phi_0 +\phi_1 Y_{t-1} + \phi_2 Y_{t-2}+\epsilon_t$
I found the ...
1
vote
0
answers
15
views
Is it possible to control for autocorrelation within individuals and families using GLS corCAR1?
I have a sample of twins with repeated measures of BMI. I want to determine whether intake of a nutrient is associated with BMI trajectories. I have been using GLS in the ...
2
votes
1
answer
53
views
How Does Serial Correlation Cause OLS to remain unbiased (even in cross -sectional data)
In order for the coefficient estimators to remain unbiased in OLS, the conditional expectation of errors given the regressors needs to be zero, $E(u_i |x_i )=0$.
However, if we have serial correlation ...
2
votes
0
answers
23
views
Autocorrelation of the lognormal Black-Scholes process
The Black-Scholes model with constant volatility $\sigma$ and interest rate $r$ is defined as
$$
dS_t/S_t=rdt+\sigma dW_t
$$
I derived the autocorrelation of the spot process $S_t$ for future times $0&...
2
votes
0
answers
8
views
In repeated measures, how to distinguish regression to the mean from a negative lagged effect?
I have repeated measures for a quantitative variable "cry" for N = 52 participants (how much you cry at a given time), there are 30 repeated measures. The values range from 0 (not at all) to ...
2
votes
0
answers
26
views
Does autocorrelation in errors always cause problems?
I am preparing a lecture slide on effect of autocorrelation of errors on t-statistic, and I am using a simulation exercise to illustrate the point. However, I am obtaining results that are clashing ...
2
votes
0
answers
35
views
Estimation of autocorrelation from unevenly sampled time series
Consider $n$ distinct time series $X^{(1)}, \ldots, X^{(n)}$, indexed by time (time ranging from 0 to 1), such that:
each time series $X^{(i)}$ has a different number of observations,
the time ...
0
votes
0
answers
27
views
Transformed Ornstein Uhlenbeck process
Say I have π that follows an Ornstein-Uhlenbeck process:
$ππ_π‘=πX_tππ‘+πππ_π‘$
Let $π_π‘=exp(π_π‘)$.
How can I calculate the autocorrelation function of $Y_t$?
1
vote
0
answers
39
views
Violation of i.i.d assumption in time series modeling
In time series forecasting,let's say you have
$x_1, x_2, x_3, \cdots, x_t$
and the goal is to predict the the value of $x_{t+1}$ given values at previous times $1,\cdots,t$. Let's assume that the ...
4
votes
2
answers
113
views
How to split and sample "Panel Data" when training a Logistic Regression to predict future outcomes
Introduction
I have panel data where customer behavior is observed over time. For each customer at a given reference date, I have a lookback window of 12 months for generating features, and a look ...