1 New Issues in the Air or “What’s Changed in 15 Years” Russell M. Shumway [email protected].
MAE 5870 - Aula 4 - IME-USPchang/home/mae325/mae5870... · Example 2.2 Pollution, Temperature and...
Transcript of MAE 5870 - Aula 4 - IME-USPchang/home/mae325/mae5870... · Example 2.2 Pollution, Temperature and...
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MAE 5870 - Aula 4
Regressão em Séries Temporais – domínio de tempo
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Critério de seleção
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Exploratory Data Analysis
In general, it is necessary for time series data to be stationary, so
averaging lagged products over time will be a sensible thing to do.
With time series data, it is the dependence between the values of
the series that is important to measure; we must, at least, be able to
estimate autocorrelations with precision.
It would be difficult to measure that dependence if the dependence
structure is not regular or is changing at every time point. Hence, to
achieve any meaningful statistical analysis of time series data, it will
be crucial that, if nothing else, the mean and the autocovariance
functions satisfy the conditions of stationarity
Often, this is not the case, and we will mention some methods for
playing down the effects of nonstationarity so the stationary
properties of the series may be studied.
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Examples:
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