• In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance...
    23 KB (3,503 words) - 04:43, 19 March 2024
  • In statistics, econometrics, and signal processing, an autoregressive (AR) model is a representation of a type of random process; as such, it is used to...
    34 KB (4,897 words) - 18:06, 13 March 2024
  • variances are important parts of autoregressive conditional heteroskedasticity (ARCH) models. The conditional variance of a random variable Y given another...
    6 KB (1,085 words) - 03:19, 13 March 2024
  • generalized in other ways. See also autoregressive conditional heteroskedasticity (ARCH) models and autoregressive integrated moving average (ARIMA) models...
    20 KB (2,613 words) - 15:54, 27 March 2024
  • Thumbnail for Homoscedasticity and heteroscedasticity
    White, Halbert (1980). "A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity". Econometrica. 48 (4): 817–838...
    27 KB (3,101 words) - 19:52, 25 February 2024
  • process model. VAR models generalize the single-variable (univariate) autoregressive model by allowing for multivariate time series. VAR models are often...
    22 KB (3,235 words) - 13:19, 3 July 2023
  • Thumbnail for Partial autocorrelation function
    role in data analysis aimed at identifying the extent of the lag in an autoregressive (AR) model. The use of this function was introduced as part of the Box–Jenkins...
    9 KB (1,080 words) - 17:14, 3 July 2023
  • is no linear relationship. The partial correlation coincides with the conditional correlation if the random variables are jointly distributed as the multivariate...
    22 KB (3,140 words) - 17:13, 24 September 2023
  • moving average (EWMA). Technically it can also be classified as an autoregressive integrated moving average (ARIMA) (0,1,1) model with no constant term...
    25 KB (3,845 words) - 15:00, 10 January 2024
  • Thumbnail for Student's t-distribution
    ISBN 9780412039911. Park SY, Bera AK (2009). "Maximum entropy autoregressive conditional heteroskedasticity model". J. Econom. 150 (2): 219–230. doi:10.1016/j.jeconom...
    50 KB (5,590 words) - 03:04, 16 March 2024