Time Series Flashcards
1
Q
What are the three properties required for stationarity?
A
- Constant mean
- Constant variance
- Autocovariance function doesn’t depend on time
2
Q
Why must a TS have constant mean and variance? (Stationarity)?
A
If a time series’ statistical properties are changing over time, i.e., it’s growing over time, the sample mean and sample variance will grow with the size of the sample and they will always underestimate the mean/variance and future periods
The parameters will be a function of time, and there’s no way to know how they are evolving over time
3
Q
What is causality in time series?
A
It means that the time series can be represented as a linear process (an MA(infinity) process)
