General words Flashcards
What is a stochastic process?
a sequence of random variables indexed by time {yₜ: 1,2,3,…}
What is autocovariance?
(self) variance: how much a time series variable (like stock prices, GDP growth, etc.) fluctuates around its own mean value at different points in time
What is stationarity?
A stationary time series process is a process whose probability distributions are stable over time
What does it mean to be weakly stationary?
the mean, variance and autocovariance are stable
What is a white noise variable?
an uncorrelated shock variable with mean = 0 and constant variance
What is strong exogeneity?
means that a variable in a statistical model is completely unaffected by any other variables in the model
What is weak dependence?
the relationship between elements of the time series that are apart in time
What is serial correlation?
the unobserved factors (error terms) exhibit some persistence across time
What is a random walk model?
A special case of a unit root process which displays high persistence
What is a probability mass function (PMF)?
tell me a value of y, I’ll tell you what the probability that my random variable explains that
