Posts Tagged ‘ Stationarity ’

non-stationary AR(10)

January 18, 2012
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non-stationary AR(10)

In the revision of Bayesian Core on which Jean-Michel Marin and I worked together most of last week, having missed our CIRM break last summer (!), we have now included an illustration of what happens to an AR(p) time series when the customary stationarity+causality condition on the roots of the associated polynomial is not satisfied. 

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The New Irish House Price Index

May 14, 2011
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The New Irish House Price Index

On Friday, the CSO released a new house (and apartment) price index, for the national, Dublin, and national excluding Dublin regions. The release has been noted and covered by the great Irish Economy and Namawinelake blogs. I want to briefly look at some of the statistical properties of this series in more detail. Below is

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What value is cross country GDP correlation? [Part One]

May 6, 2011
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What value is cross country GDP correlation? [Part One]

The above graph borders on chartjunk (and is nothing like Paul Butler’s amazing Facebook map). We can see some variation in color but mostly it is a set of lines between 152 country capitals with no means to determine which … Continue reading →

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Time series

March 28, 2011
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Time series

(This post got published on The Statistics Forum yesterday.) The short book review section of the International Statistical Review sent me Raquel Prado’s and Mike West’s book, Time Series (Modeling, Computation, and Inference) to review. The current post is not about this specific book, but rather on why I am unsatisfied with the textbooks in

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Stationarity

February 9, 2011
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Stationarity

In time series work you often run into difficulties in modeling processes where the overall level of one variable (an input, for example) changes over time but the levels of another variable (an output) do not change. For instance if … Continue reading →

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