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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

Autoregressive fractionally integrated moving average

In statistics, autoregressive fractionally integrated moving average models are time series models that generalize ARIMA (autoregressive integrated moving average) models by allowing non-integer value

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

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