Time Series:
Cycle,Seasonality巢掺,Trend
1. Stationary time series:Cycle(可預測)
cycle 一定可以 mean reversion
mean reversion 不一定 cycle
Covariance Stationary:
時間序列有預測性的前提
同時滿足:
①mean:constant and finite
②variance:constant and finite
③autocovariance:在|tao|不變時睬愤,constant and finite
①Autocovariance function:
如果time series滿足covariance stationary片仿,那么它的autocovariance只取決于displacement(tao),而不取決于time(t)
②Autocorrelation function(ACF):
③Autoregression(AR):
the variable is regressed on lagged values of itself
④Partial autocorrelation function(PCF):