All Questions
Tagged with sum time-series
8
questions
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Time series benchmarking/reconciliation and revisions - are there methods that minimise revisions?
I am using the tempdisagg R package for benchmarking quarterly time series to annual time series from different (more trusted) sources (by temporally disaggragating the annual data using the quarterly ...
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Does $p=0 \implies \sum_{i=1}^{p} \phi_i L^i = 0$?
Let us take this $\operatorname{AR}(p)$ equation
$$\left(1 - \sum_{i=1}^{p} \phi_i L^i \right)X_t = \mu + \epsilon_t$$
as an example.
When $p=0$ I read this to mean
\begin{align*}
\mu + \epsilon_t &...
2
votes
1
answer
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Why does absolutely-summable weights ensures a linear series itself summable (convergent)? Some questions on def'n of Linear Series
A "linear series" $y_t$ is the linear combination $$y_t - \mu = \sum_{i=-\infty}^{\infty}\psi_iL^i\nu_t = \sum_{i=-\infty}^{\infty}\psi_i\nu_{t-i}=S(L)\nu_t $$
of weighted (by $\psi_i$ weights) lags ...
2
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1
answer
1k
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Understanding the infinite sum of random variables
I am doing a course on time series analysis, and am struggling with this definition:
We call a weakly stationary process $\{X_t\}$ invertible with respect to a
white noise $\{\epsilon_t\}$ if ...
5
votes
1
answer
481
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Is the sum of trends of two time series the trend of the sum of the time series?
Let's say I have two time-series, A and B. I build time-series C as C=A+B.
I estimate the trend of A, let's say I get +0.5 (Theil-Sen).
I estimate the trend of B, let's say I get -0.4 (Theil-Sen).
...
8
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1
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Sum of forecasts
I have a question regarding forecast. I'm building an inventory model around warehouses, where all warehouses have multiple customers/countries assigned. I have data on sales for all countries ...
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Solving for a difference equation for $s_{t}$
Given $f_{t}=u_{t} - \bar{P}$ and the law of motion for $u_{t} = \rho u_{t-1} + \epsilon_{t}$, where $0<\rho<1$, $\epsilon_{t}$ is mean-zero iid and can be interpreted as a domestic price level ...
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172
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Understanding summations in COV formula for time series
I am looking through Time Series Analysis: With Applications in R (my first exposure to time series) and refreshing summations.
I.
When given the following rule:
COV[$\sum_{i=1}^{m} c_{i}Y_{t_{i}},\...