281 reputation
35
bio website vzemlys.wordpress.com
location Vilnius, Lithuania
age 33
visits member for 3 years, 4 months
seen May 22 at 7:15

* denotes convolution, $\cdot$ denotes multiplication

I am the developer of the midasr R package:

and you cand find me on


Dec
11
awarded  Nice Answer
Oct
16
comment Are two identical time series cointegrated?
Concerning the qualifier, I could omit it in my native language (not English) and get away with it. Here and in stats.SE I strive more for clarity than for strict mathematical correctness. Either way I do not agree that not using a qualifier is wrong, because this is not an objective thing you can judge.
Oct
16
comment Are two identical time series cointegrated?
If $alpha=-\beta$ then $P((\alpha+\beta)X=0)=1$. I.e. we have a constant, which technically is a stationary process with variance zero. We can always exclude this case.
Oct
11
revised Are two identical time series cointegrated?
rephrased to be more precise
Oct
11
comment Are two identical time series cointegrated?
@Ryogi, well I would have used word any if I wanted to mean any. If you do not prepend word any, then it is assumed that linear combination is specific. At least that is the convention in mathematical texts. But I can see that it might seem ambiguous. I'll change the wording to eliminate that.
Apr
19
awarded  Autobiographer
Mar
7
comment How are correlation and cointegration related?
Derivation of exactly what? Nothing is derived in this post, only the definitions are given. As this post is purely my arrangement of known facts, I do not know about videos where somebody is talking about this.
Feb
15
awarded  Yearling
Jan
30
awarded  Necromancer
Sep
23
awarded  Necromancer
Jul
20
comment How we can forecast stock prices using chaos theory?
It should be noted that chaos theory is a catchy name, which covers applications of usual mathematical methods, so it might be that chaos theory is already applied, but under different name. Furthermore since the claim of 30% profits should be taken with the grain of salt, the same should be applied for the claim that chaos theory was used. People like catchy names for naming their work.
Jul
20
comment How we can forecast stock prices using chaos theory?
+1 for the question. I would be interested to know also how exactly chaos theory can be used, or was used by that user in particular case. I suspect that if there is something it might be just academic speculation.
Jul
20
comment How we can forecast stock prices using chaos theory?
Chaos theory imposes some structure on the processes. If there is structure you can exploit it. Unit-root processes are also can be considered unpredictable, but all stochastic calculus is based on such processes. So I would not be so fast in dismissing the notion that chaos theory cannot be used for forecasting of stock prices. However the claim in the question can be dismissed :) Real life example or some papers would be interesting to read.
Jul
19
revised Obtaining characteristics of stochastic model solution
Clarified title, improved the formatting
Jul
19
suggested suggested edit on Obtaining characteristics of stochastic model solution
Jul
18
answered Are two identical time series cointegrated?
Jul
18
awarded  Teacher
Jul
18
awarded  Editor
Jul
18
revised How are correlation and cointegration related?
added 72 characters in body
Jul
18
answered How are correlation and cointegration related?