MA

AutoCorrelation (Correlogram) and persistence – Time series analysis

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The agenda for the subsequent series of articles is to introduce the idea of autocorrelation, AutoCorrelation Function (ACF), Partial AutoCorrelation Function (PACF) , using ACF and PACF in system identification. Introduction Given time series data (stock market data, sunspot numbers over a period of years, signal samples received over a communication channel etc.,), successive values … Read more

Understand AR, MA and ARMA models

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Key focus: AR, MA & ARMA models express the nature of transfer function of LTI system. Understand the basic idea behind those models & know their frequency responses. Introduction Signal models are used to analyze stationary univariate time series. The goal of signal modeling is to estimate the process from which the desired signal is … Read more