Statistician,

Apr
9
revised Matrix decomposition
formatting
Mar
27
awarded Guru
Feb
22
awarded Constituent
Feb
18
answered Sample ACF and PACF of a random walk
Feb
18
awarded Caucus
Feb
12
comment ARMA conditional density
@dynamic89, I missed to see that $\mu_t$ and σt are time dependent. Are both the function deterministic function of t? –
Feb
12
comment ARMA conditional density
That means, the series is not stationary. But still you get $y_t$ as sum of independent normal random variables (Hence $y_t$ is normally distributed).
Feb
12
comment ARMA conditional density
@dynamic89, If you are assuming $\epsilon_t$ are iid, by repeated substitution you can write $y_t$ as sum of $\epsilon_t$. Sum of independent normal rvs-> normal
Feb
11
answered ARMA conditional density
Feb
11
comment Left-censoring in time series data
You are right.. it is in the other way.
Feb
11
comment Left-censoring in time series data
Take T=1. How do you calculate $f(x_1|\varphi)$ from $f(y_1|\varphi)$? (from X you can calculate Y. Reverse case, you require some assumption.)
Feb
8
answered Conditional expectation in AR(1) process
Feb
8
revised Conditional expectation in AR(1) process
formatting. added description of u
Feb
8
comment Conditional expectation in AR(1) process
Are you assuming distribution of $\epsilon_t$ identical? Also what about $m$? $m<t$?
Jan
29
revised Forecasting estimate Demand
formatting
Jan
9
comment R - ARIMA model with long seasonal periods - Error: "length of x and xreg does not match"
@Marc, I guess you have good number of observations and random data. Seven is too small to build Arima(2,0,2).
Jan
9
comment Pattern detection in a time series
Causality part is after the model. More important part is the stationary conditions and seasonal part.
Jan
8
comment Pattern detection in a time series
SVAR would be appropriate here. But, ensure the assumptions
Jan
8
answered probability definition of time and place event help in definition representation
Jan
8
comment R - ARIMA model with long seasonal periods - Error: "length of x and xreg does not match"
It helps if you could provide structure of x str(x) and the function definition of fourier1 (or is it same as in the webpage?)
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