Sometimes when data are observed over time, the value at time t actually affects the value observed at time t + 1, or even time t + k, k > 1. Such data are said to be autocorrelated. Special methods, referred to as time series analyses, have been developed to analyze autocorrelated data.

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Time Series and Dynamic Systems

  • Scott A. Pardo

摘要

Sometimes when data are observed over time, the value at time t actually affects the value observed at time t + 1, or even time t + k, k > 1. Such data are said to be autocorrelated. Special methods, referred to as time series analyses, have been developed to analyze autocorrelated data.