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You are on page 1of 6

Overview

1. Stationarity

2. Linear processes

3. Cyclic models

4. Nonlinear models

Stationarity

Strict stationarity (Defn 1.6) Probability distribution of the stochastic

process {Xt }is invariant under a shift in time,

P (Xt1 x1 , Xt2 x2 , . . . , Xtk xk ) = F (xt1 , xt2 , . . . , xtk )

= F (xh+t1 , xh+t2 , . . . , xh+tk )

= P (Xh+t1 x1 , Xh+t2 x2 , . . . , Xh+tk xk )

for any time shift h and xj .

and autocovariance of the stochastic process are finite and invariant

under a shift in time,

E Xt = t = Cov(Xt , Xs ) = E (Xt t )(Xs s ) = (t, s) = (ts)

The separation rather than location in time matters.

weak stationarity is equivalent to strong stationarity. Strict stationar-

ity implies weak stationarity only if the necessary moments exist.

averaging makes sense. Unless properties like the mean and covariance

are either fixed or evolve in a known manner, we cannot average the

observed data.

these in data?

Statistics 910, #2 2

Moving Average

White noise Sequence of uncorrelated random variables with finite vari-

ance,

(

often 2 often

w = 1 if t = s,

E Wt = = 0 Cov(Wt , Ws ) =

0 otherwise

noise. Strict white noise replaces uncorrelated by independent.

of another time series, often formed from white noise. If we define {Yt }

from {Xt } as

X

Yt = ci Xti

i=

mean, we require {ci } `1 , the space of absolutely summable se-

P

quences, |ci | < . In order for {Yt } to have second moments (if

the input series {Xt } has second moments), then {ci } `2 . (`2 is the

P 2

space of all square summable sequences, those for which ci < .)

Examples

trival Yt = Xt

differences Yt = Xt Xt1

3-term Yt = (Xt+1 + Xt + Xt1 ) /3

=

P

one-sided Yt i=0 ci Xti

lating Gaussian white noise and filter to form the filtering. (Use the

concatenation function c to glue values into a sequence.

Note the practical issue of end values: What value do you get for y1

when forming a moving average? Several approaches are

2. Extend the input series by, say, back-casting x0 , x1 , . . . (such as

by the mean or fitting a line).

3. Wrapping the coefficient weights (convolution).

Statistics 910, #2 3

Question: For what choices of the weights cj does the moving aver-

age look smoother that the input realization?

x and the sum of the weights is finite. For {Yt } to be second-order sta-

tionary, then (assume that the mean of {Xt } is zero, implying that the

mean of {Yt } is also zero and that the weights are square summable)

X X

y (t, t+h) = E Yt Yt+h = E ci cj Xti Xt+hj = ci cj x (ti, t+hj)

i,j i,j

X X

y (h) = ci cj x (t i, t + h j) = ci cj x (h j + i)

i,j i,j

If it also happens that the input is white noise, then the covariance

further simplifies to a lagged inner product of the weights used to

construct the moving average,

X

y (h) = x2 ci ci+h (1)

i

covariance matrix associated with the stochastic process {Yt }. First,

imagine writing {Yt } as a matrix product

Y =CX

where the infinite length vectors X and Y stack the elements of the

two prcesses

X 0 = (. . . , X2 , X1 , X0 , X1 , X2 , . . .) and Y 0 = (. . . , Y2 , Y1 , Y0 , Y1 , Y2 , . . .)

and C is an infinite-dimensional, square, diagonal matrix with c0 along

the diagonal arranged by stacking and shifting the coefficients as

..

.

...,c ,c ,c ,c ,c ...

1 0 1 2 3

C = . . . , c2 , c1 , c0 , c1 , c2 , . . .

. . . , c3 , c2 , c1 , c0 , c1 , . . .

..

.

Statistics 910, #2 4

If the input is white noise, then (1) represents the covariance matrix

as the product

y = x2 CC 0

with holding the covariances

y,ij = y (i j)

Feedback Allow past values of the process to influence current values:

Yt = Yt1 + Xt

to write such a series as a moving average:

Yt = (Yt2 + Xt1 + Xt

= 2 (Yt3 + Xt2 ) + Xt + Xt1

= Xt + Xt1 + 2 Xt2 +

walk if {Xt } consists of independent inputs.

Linear The ability to represent the autoregression (in this case, a first-order

autoregression) as a moving average implies that the autoregression is

a linear process (albeit, one with an infinite sequence of weights).

Cyclic Processes

Random phase model Define a stochastic process as follows. Let U de-

note a random variable that is uniformly distributed on [, ], and

define (Here R is a constant, but we could allow it to be an independent

r.v. with mean zero and positive variance.)

Xt = R cos( t + U )

and amplitude R.

Statistics 910, #2 5

Trig sums are always easier in complex notation unless you use them a lot.

You just need to recall Eulers form (with i = 1),

exp(i ) = cos() + i sin()

Using Eulers result

cos( + ) + i sin( + ) = exp(i( + ))

= exp(i) exp(i)

= (cos() + i sin())(cos() + i sin())

= (cos() cos() sin() sin()) + i(sin() cos() + cos() sin())

Hence we get

cos(a + b) = cos a cos b sin a sin b, cos(2a) = cos2 a sin2 b

and

sin(a + b) = cos a sin b + cos b sin a, sin(2a) = 2 cos a sin a

EXt = R E cos(t + U ) = R E (cos(t) cos(U ) sin(t) sin(U )) = 0

since the integral of sine and cosine is zero over a full period is 0,

Z 2 Z 2

cos u du = sin u du = 0

0 0

Similarly, but with a bit more algebra, (expand the cosine terms and

collect the terms in the product)

Cov(Xt , Xs ) = R2 E (cos(t + U ) cos(s + U ))

= R2 E cos2 U cos(t) cos(s) + sin2 U sin(t) sin(s)

R2

= (cos t cos s + sin t sin s)

2

R2

= cos((t s))

2

using the results that the squared norm of the sine and cosine are

Z 2 Z 2

1 2 1

cos x dx = sin2 x dx = 1/2

2 0 2 0

and the orthogonality property

Z 2

cos x sin x dx = 0

0

Statistics 910, #2 6

Nonlinear Models

Linear process A moving average is a weighted sum of the input series,

which we can express as the linear equation Y = C X.

Nonlinear processes describe a time series that does not simply take a

weighted average of the input series. For example, we can allow the

weights to depend on the value of the input:

input series and the functions cj (Xt ).

Example To form a nonlinear process, simply let prior values of the input

sequence determine the weights. For example, consider

eBcause the expression for {Yt } is not linear in {Xt }, the process is

nonlinear. Is it stationary?

(Think about this situation: Suppose {Xt } consists of iid r.v.s. What

linear process does {Yt } resemble? If we were to model such data as

this linear process, we would miss a very useful, improved predictor.)

of feedback in which the current value of the process Yt is determined

by past values Yt1 , Yt2 , . . . as well as past values of the input series.

For example, the following is an example of a bilinear process:

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