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Cointegration is a statistical property of a collection (X 1, X 2, ..., X k) of time series variables. First, all of the series must be integrated of order d.Next, if a linear combination of this collection is integrated of order less than d, then the collection is said to be co-integrated.
Data patterns, or trends, occur when the information gathered tends to increase or decrease over time or is influenced by changes in an external factor. Linear trend estimation essentially creates a straight line on a graph of data that models the general direction that the data is heading.
Exponential smoothing or exponential moving average (EMA) is a rule of thumb technique for smoothing time series data using the exponential window function.Whereas in the simple moving average the past observations are weighted equally, exponential functions are used to assign exponentially decreasing weights over time.
In time series analysis, a fan chart is a chart that joins a simple line chart for observed past data, by showing ranges for possible values of future data together with a line showing a central estimate or most likely value for the future outcomes. As predictions become increasingly uncertain the further into the future one goes, these ...
In policy analysis, forecasting future production of biofuels is key data for making better decisions, and statistical time series models have recently been developed to forecast renewable energy sources, and a multiplicative decomposition method was designed to forecast future production of biohydrogen. The optimum length of the moving average ...
Time series analysis comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. Time series forecasting is the use of a model to predict future values based on previously observed values.
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ADMB – a software suite for non-linear statistical modeling based on C++ which uses automatic differentiation; Chronux – for neurobiological time series data; DAP – free replacement for SAS; Environment for DeveLoping KDD-Applications Supported by Index-Structures (ELKI) a software framework for developing data mining algorithms in Java