Timeline for ARIMA model coefficients from discontinuous data series
Current License: CC BY-SA 4.0
8 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| S Jul 27, 2020 at 11:17 | history | suggested | oliversm | CC BY-SA 4.0 |
beta_1 got an x_1
|
| Jul 27, 2020 at 11:16 | review | Suggested edits | |||
| S Jul 27, 2020 at 11:17 | |||||
| Jul 27, 2020 at 9:10 | comment | added | confused | Ah right, it doesn't affect change in variance which is what he was interested in. | |
| Jul 27, 2020 at 9:10 | history | edited | Richard Hardy | CC BY-SA 4.0 |
deleted 4 characters in body
|
| Jul 27, 2020 at 9:09 | comment | added | Richard Hardy | @confused, possibly but unlikely. Such a model would imply the only difference between night and day is a level change, i.e. the stock price is systematically higher or lower at night. I doubt this is a good approximation of the reality. | |
| Jul 27, 2020 at 8:46 | comment | added | confused | Would not just including a dummy for "night" and "day" solve some of his problem? R's arima() function allows for exogenous variables. | |
| Oct 8, 2016 at 14:22 | vote | accept | Mateusz Zaborski | ||
| Oct 7, 2016 at 14:23 | history | answered | Richard Hardy | CC BY-SA 3.0 |