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Damped sine wave
| Словарь по экономике и эконометрике |
A pattern, especially in an autocorrelation function plot, where the values cycle from positive to negative in a declining manner as the lag length increases.
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Especially, английский
Autocorrelation, английский
- The correlation of a variable with itself over successive time intervals. sometimes called serial correlation.
- Автокорреляция
- A standardised measure, which must lie between −1 and +1, of the extent to which the current value of a series is related to its own previous values.
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Broken trend, английский
A process which is a deterministic trend with a structural break.
Bekk model, английский
A multivariate model for volatilities and covariances between series that ensures the variance–covariance matrix is positive definite.
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