Time Series and Beyond

First I would like to confess the reason why I haven’t been blogging for a while: I am back from a computer breakdown: essentially my Macbook went out of storage during the updating process to Big Sur, and it is not functioning now..

Let us talk about time series models. autoregressive process of order p

\[Y_t = \phi_1 Y_{t-1}\]

A formal way to test for stationarity is Augmented Dickey-Fuller test.

• Autoregression model: a regression between a time series and itself lagged by a time step or steps

• Moving average model: a regression between a time series and its own residuals lagged by a time step or steps

• ARMA model: a combination of AR and MA