Insights Blog
-- Browse All Articles --
Physics Articles
Physics Tutorials
Physics Guides
Physics FAQ
Math Articles
Math Tutorials
Math Guides
Math FAQ
Education Articles
Education Guides
Bio/Chem Articles
Technology Guides
Computer Science Tutorials
Forums
General Math
Calculus
Differential Equations
Topology and Analysis
Linear and Abstract Algebra
Differential Geometry
Set Theory, Logic, Probability, Statistics
MATLAB, Maple, Mathematica, LaTeX
Trending
Featured Threads
Log in
Register
What's new
Search
Search
Search titles only
By:
General Math
Calculus
Differential Equations
Topology and Analysis
Linear and Abstract Algebra
Differential Geometry
Set Theory, Logic, Probability, Statistics
MATLAB, Maple, Mathematica, LaTeX
Menu
Log in
Register
Navigation
More options
Contact us
Close Menu
JavaScript is disabled. For a better experience, please enable JavaScript in your browser before proceeding.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an
alternative browser
.
Forums
Mathematics
General Math
Generate Time Series with specific ACF and multiple LAG
Reply to thread
Message
[QUOTE="Xcode, post: 5456681, member: 592275"] Hello Everyone, I will try to explain what am I doing here and I hope someone will understand. ACF - autocorrelation function I'm doing a research about non-parametric methods utility. How they fit and are useful in a different environment. I'm generating time series with different sizes of data (N=128, N=256, N=512 and so on, N - represents how many values are in time series.). For the results to be more accurate I generate 10 000 samples for each N=128, N=256... I'm using different ACF values (0,1 , 0,3 , 0,5 , 0,7 and 0,9) to generate those time series. And I also use 4 different distributions (Normal, Exponential, Cauchy and Uniform). I've managed to generate time series with LAG=1 using autoregressive process X(t) = aX(t-1) + e(t), where a = ACF value, e(t) are successively chosen at random using random number distribution (normal,exp,uni or cauchy). After having time series generated with specific ACF, I calculate autocorrelation from those generated time series. Having those two different values (ACF and autocorrelation from time series) I can calculate different residues and see where one or another method is more effective. I couldn't figure out how to generate time series with LAG>1. So, what I need to do now is to: A) Generate time series with higher LAG than 1. And while the LAG is increasing, I need ACF value to go down slowly and reach 0 (lets say in 10-20 LAGS) B) Generate time series with higher LAG than 1. And while the LAG is increasing, I need ACF value to go down FAST and reach 0 (lets say in 2-4 LAGS). ACF = 0 value should repeat itself until LAG=100 and then it should go up significantly C) Same thing. Generate time series by increasing it's LAG, but the ACF value should be cyclic. It should repeat itself every 4 or 8 or 12 LAG. I hope you understood what I was trying to say. Can you help me? [/QUOTE]
Insert quotes…
Post reply
Forums
Mathematics
General Math
Generate Time Series with specific ACF and multiple LAG
Back
Top