Partial correlation
In probability theory and statistics, partial correlation measures the degree of association between two random variables, with the effect of a set of controlling random variables removed. When determ
Autoregressive–moving-average model
In the statistical analysis of time series, autoregressive–moving-average (ARMA) models provide a parsimonious description of a (weakly) stationary stochastic process in terms of two polynomials, one
Portmanteau test
A portmanteau test is a type of statistical hypothesis test in which the null hypothesis is well specified, but the alternative hypothesis is more loosely specified. Tests constructed in this context
Autoregressive model
In statistics, econometrics and signal processing, an autoregressive (AR) model is a representation of a type of random process; as such, it is used to describe certain time-varying processes in natur
Long-tail traffic
A long-tailed or heavy-tailed probability distribution is one that assigns relatively high probabilities to regions far from the mean or median. A more formal mathematical definition is given below. I
Self-similar process
Self-similar processes are types of stochastic processes that exhibit the phenomenon of self-similarity. A self-similar phenomenon behaves the same when viewed at different degrees of magnification, o
Autocorrelation
Autocorrelation, sometimes known as serial correlation in the discrete time case, is the correlation of a signal with a delayed copy of itself as a function of delay. Informally, it is the similarity
Fractional Brownian motion
In probability theory, fractional Brownian motion (fBm), also called a fractal Brownian motion, is a generalization of Brownian motion. Unlike classical Brownian motion, the increments of fBm need not
Detrended fluctuation analysis
In stochastic processes, chaos theory and time series analysis, detrended fluctuation analysis (DFA) is a method for determining the statistical self-affinity of a signal. It is useful for analysing t
Autoregressive conditional heteroskedasticity
In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance of the current error term or innovation as a fun
Hildreth–Lu estimation
Hildreth–Lu estimation, named for Clifford Hildreth and , is a method for adjusting a linear model in response to the presence of serial correlation in the error term. It is an iterative procedure rel
Correlogram
In the analysis of data, a correlogram is a chart of correlation statistics. For example, in time series analysis, a plot of the sample autocorrelations versus (the time lags) is an autocorrelogram. I
Autocovariance
In probability theory and statistics, given a stochastic process, the autocovariance is a function that gives the covariance of the process with itself at pairs of time points. Autocovariance is close
Autocorrelation technique
The autocorrelation technique is a method for estimating the dominating frequency in a complex signal, as well as its variance. Specifically, it calculates the first two moments of the power spectrum,
Durbin–Watson statistic
In statistics, the Durbin–Watson statistic is a test statistic used to detect the presence of autocorrelation at lag 1 in the residuals (prediction errors) from a regression analysis. It is named afte
Long-range dependence
Long-range dependence (LRD), also called long memory or long-range persistence, is a phenomenon that may arise in the analysis of spatial or time series data. It relates to the rate of decay of statis
Lag windowing
Lag windowing is a technique that consists of windowing the autocorrelation coefficients prior to estimating linear prediction coefficients (LPC). The windowing in the autocorrelation domain has the s
Hurst exponent
The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of valu
Rescaled range
The rescaled range is a statistical measure of the variability of a time series introduced by the British hydrologist Harold Edwin Hurst (1880–1978). Its purpose is to provide an assessment of how the
Cochrane–Orcutt estimation
Cochrane–Orcutt estimation is a procedure in econometrics, which adjusts a linear model for serial correlation in the error term. Developed in the 1940s, it is named after statisticians Donald Cochran