# Questions tagged [time-series]

This tag is used for question related to time series models such as AR, ARMA, ARCH, GARCH and their properties and techniques used for inference.

585 questions
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### Bartlett’s formula for variance

I have an ACF plot done on python where I’ve got a shaded blue region which is of a curved shape. I am trying to explain why this is the case and so far I’ve been able to establish that it’s because ...
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### Mean function and the auto-covariance function for {Yt}.

Struggling with understanding some of the basics for calculations around auto-covarance functions with the following question: Suppose that ${X_t}$ is a stationary time series with mean $µ=0$ and ...
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### Guess date from numeric string [on hold]

I have a list of numeric strings such as: enter image description here Is there any way I can guess if these are in any way associated with a date?
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### OLS estimator of AR($1$) is biased

Suppose that we have a sample $X_0,X_1,\ldots,X_n$ from the AR($1$) model given by $$X_t=\phi X_{t-1}+\varepsilon_t$$ for $t\in\mathbb Z$, where $|\phi|<1$ and $\{\varepsilon_t\}_{t\in\mathbb Z}$ ...
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### Geometric Brownian Motion as the limit of Binomial Tree

I know that GBM can be discretely approximated by methods such as Euler-Maruyama, and it can be shown that Binomial tree converges to GBM at the continuous time limit. However I'm having a hard time ...
41 views