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Simulation and Modeling-2

The document discusses stationary time series. It defines stationary time series as random processes with constant mean, variance and covariance. It describes two types of stationarity: strong stationarity, where the distribution of a finite sub-sequence remains the same when shifted in time; and weak stationarity, where only the first moment and cross moment are shift-invariant over time. Weakly stationary processes have a constant mean and variance, and the covariance depends only on the time difference between two points, not the location in time. Stationary time series allow for the best linear prediction models compared to non-stationary time series.

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24 views19 pages

Simulation and Modeling-2

The document discusses stationary time series. It defines stationary time series as random processes with constant mean, variance and covariance. It describes two types of stationarity: strong stationarity, where the distribution of a finite sub-sequence remains the same when shifted in time; and weak stationarity, where only the first moment and cross moment are shift-invariant over time. Weakly stationary processes have a constant mean and variance, and the covariance depends only on the time difference between two points, not the location in time. Stationary time series allow for the best linear prediction models compared to non-stationary time series.

Uploaded by

mohammed.riad.bi.2020
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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SIMULATION AND MODELING

Time Series Analysis

 A set of observations indexed by time t


 Discrete and continuous time series
Stationary Time Series
 Stationary process - a random process with a
constant mean, variance and covariance.
Examples of stationary time series:
Stationary Time Series
Stationary Time Series
Stationary Time Series
 Definitions of stationarity

Stochastic Process: A real stochastic process is a family of


real random variables 𝑿={xᵢ(ω); i∈T}, all defined on the
same probability space (Ω, F, P). The set T is called
the index set of the process. If T⊂ℤ, then the process is
called a discrete stochastic process. If T is an interval of ℝ,
then the process is called a continuous stochastic process.
Stationary Time Series
 Definitions of stationarity
 Strong stationarity
parameters such as mean and variance also do not change
over time

Strong stationarity requires the shift-invariance (in time)


of the finite-dimensional distributions of a stochastic
process. This means that the distribution of a finite sub-
sequence of random variables of the stochastic process
remains the same as we shift it along the time index axis.
Stationary Time Series
 Definitions of stationarity
 Strong stationarity

Formally, the discrete stochastic process }ℤ∈i ; ᵢx{=𝑿isfi yranoitats

The stationarity condition .

for T⊂ℤ with n∈ℕ and any τ∈ℤ. For continuous stochastic processes the condition is similar,
with T⊂ℝ, n∈ℕ and any τ∈ℝ instead.
Stationary Time Series
 Weak stationarity

Weak stationarity only requires the shift-invariance (in


time) of the first moment and the cross moment (the auto-
covariance). This means the process has the same mean at
all time points, and that the covariance between the values
at any two time points, t and t−k, depend only on k, the
difference between the two times, and not on the location
of the points along the time axis.
Stationary Time Series
 Weak stationarity
Stationary Time Series
 Weak stationarity
This paints a specific picture of weakly stationary processes
as those with constant mean and variance.
Stationary Time Series

 (Weakly) stationary
 The covariance is independent of t for each
h

 The mean is independent of t


Why Stationary Time Series?

 Stationary time series have the best


linear predictor.
 Nonstationary time series models are
usually slower to implement for
prediction.
Straight Line Regression model

where is the regression coefficient and


determines the intercept of the straight line
with the y-axis.
Dynamic Responses
Dynamic Responses
Kinetic Modelling
• Studies the rate at which a reaction process occurs.
• Besides information about the speed at which
reactions occur, kinetics also sheds light on the
reaction mechanism (exactly how the reaction
occurs).
Kinetic Modelling
Causation
Causation manifests itself only through changes in states. What we require
is a formalism in which changes are encoded, naturally leading us to the
formulation of differential
(rate) equations:

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