What makes an unsteady graph unsteady or why oil is oil? - page 19
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The Box-Jenkins model is also good in that, with AP and MA parameters, it is possible to obtain the full
Spectral Power Density (SPD)! And having it, we can control High-Low probability distribution!
I'm not talking about the information that's in the, er, general interference pattern, you know, the superposition
of the constituent harmonics and so on.
Of course they are. Because you have made them so. The way the older timeframe data is derived produces spectral components that are not in the original series.
What's the point of analyzing something that doesn't exist?
On topic.
Can't any graph, even the most unsteady one, be made stationary by a simple transformation?
The order of the autoregression will be increased by the order of the difference, and thus the previously fitted weights (parameters) for the given statistical process will be changed.
The parameters (weights) of the moving average will not be affected. Box has unambiguous definitions and examples for this.
And for historical data... I'll give you a hint:
Difference(t+1)=Price(t+1)-Price(t), where t=1,2,......N.
If predicted Difference(t+1), Price(t) we know, because t is the last closed bar, then...
:)
According to Box and especially his followers BP is subject to pretreatment: detrending, removal of seasonality (cyclicality or something?) and gaps. The idea is to leave the noise component, which can be reduced to a stationary form, as you write, although this is not the only way. Can we conclude that the non-stationarity of the market is in the noise? I do not know that. The prediction is not made in the way you state. The initial BP is decomposed into components, then the model is identified, then a subtraction to a BP, another one, but one that can predict the initial one, is made.
On topic.
Can't any graph, even the most unsteady one, be made stationary by a simple transformation?
No. Box introduced some models and only within those models. There is non-stationarity of the kind where it is impossible to even tell if there is a trend or not.
On topic.
Can't any graph, even the most unsteady one, be made stationary by a simple transformation?
No. Box introduced some models and only within those models. There is non-stationarity of the kind where it is impossible to even tell if there is a trend or not.
...... Прогноз делается не так как вами указано. Исходный ВР разлается на составляющие, затем идентифицируется модель, затем производится возвоат к ВР, другому, но который моожет прогнозировать исходный.
Is this a mathematical paradox?
I thought Reshetov's method could make any series stationary... )
По Боксу и особенно его последователей ВР подлежит предварительной обработке: детрендированию, удалению сезонности (цикличности что ли?) и гэпов. По идее остается шумовая компонента, которая может приводится в стационарному виду, как Вы пишите, хотя это не единственный способ. Можем ли мы сделать вывод, что нестационарность рынкета находится в шуме? Я этого не знаю. Прогноз делается не так как вами указано. Исходный ВР разлается на составляющие, затем идентифицируется модель, затем производится возвоат к ВР, другому, но который моожет прогнозировать исходный.
Have you implemented the Box-Jenkins method programmatically?
Do you have any practical experience?
Have you implemented the Box-Jenkins method programmatically?
Do you have any practical experience?
No and haven't met, looking for company.