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Simulation and Modeling-2

The document discusses time series analysis and stationary time series. It defines a time series as a set of observations indexed by time and discusses discrete and continuous time series. It then defines stationary time series as random processes that have a constant mean, variance and covariance. It describes strong stationarity as requiring shift-invariance of finite-dimensional distributions and weak stationarity as requiring shift-invariance of only the first moment and cross moment. Weakly stationary processes are characterized as having constant mean and variance, with the covariance being independent of time for each time difference. Stationary time series are useful for modeling as they have the best linear predictor and models are usually faster to implement for prediction than nonstationary time series.

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mohammed.riad.bi.2020
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14 views

Simulation and Modeling-2

The document discusses time series analysis and stationary time series. It defines a time series as a set of observations indexed by time and discusses discrete and continuous time series. It then defines stationary time series as random processes that have a constant mean, variance and covariance. It describes strong stationarity as requiring shift-invariance of finite-dimensional distributions and weak stationarity as requiring shift-invariance of only the first moment and cross moment. Weakly stationary processes are characterized as having constant mean and variance, with the covariance being independent of time for each time difference. Stationary time series are useful for modeling as they have the best linear predictor and models are usually faster to implement for prediction than nonstationary time series.

Uploaded by

mohammed.riad.bi.2020
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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SIMULATION AND MODELING

Time Series Analysis

 A set of observations indexed by time t


 Discrete and continuous time series
Stationary Time Series
 Stationary process - a random process with a
constant mean, variance and covariance.
Examples of stationary time series:
Stationary Time Series
Stationary Time Series
Stationary Time Series
 Definitions of stationarity

Stochastic Process: A real stochastic process is a family of


real random variables 𝑿={xᵢ(ω); i∈T}, all defined on the
same probability space (Ω, F, P). The set T is called
the index set of the process. If T⊂ℤ, then the process is
called a discrete stochastic process. If T is an interval of ℝ,
then the process is called a continuous stochastic process.
Stationary Time Series
 Definitions of stationarity
 Strong stationarity

Strong stationarity requires the shift-invariance (in time)


of the finite-dimensional distributions of a stochastic
process. This means that the distribution of a finite sub-
sequence of random variables of the stochastic process
remains the same as we shift it along the time index axis.
Stationary Time Series
 Definitions of stationarity
 Strong stationarity

Formally, the discrete stochastic process }ℤ∈i ; ᵢx{=𝑿isfi yranoitats

The stationarity condition .

for T⊂ℤ with n∈ℕ and any τ∈ℤ. For continuous stochastic processes the condition is similar,
with T⊂ℝ, n∈ℕ and any τ∈ℝ instead.
Stationary Time Series
 Weak stationarity

Weak stationarity only requires the shift-invariance (in


time) of the first moment and the cross moment (the auto-
covariance). This means the process has the same mean at
all time points, and that the covariance between the values
at any two time points, t and t−k, depend only on k, the
difference between the two times, and not on the location
of the points along the time axis.
Stationary Time Series
 Weak stationarity
Stationary Time Series
 Weak stationarity
This paints a specific picture of weakly stationary processes
as those with constant mean and variance.
Stationary Time Series

 (Weakly) stationary
 The covariance is independent of t for each
h

 The mean is independent of t


Why Stationary Time Series?

 Stationary time series have the best


linear predictor.
 Nonstationary time series models are
usually slower to implement for
prediction.
Straight Line Regression model

where is the regression coefficient and


determines the intercept of the straight line
with the y-axis.
Dynamic Responses
Dynamic Responses
Kinetic Modelling
• Studies the rate at which a reaction process occurs.
• Besides information about the speed at which
reactions occur, kinetics also sheds light on the
reaction mechanism (exactly how the reaction
occurs).
Kinetic Modelling
Causation
Causation manifests itself only through changes in states. What we require
is a formalism in which changes are encoded, naturally leading us to the
formulation of differential
(rate) equations:

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