serial correlation การใช้

• The Bias Ratio compared to the serial correlation metric gives different results.
• The p-values of the Q-statistic establish the significance of the serial correlation.
• The most common measure of serial correlation is the Ljung-Box Q-Statistic.
• However, it can emerge from an intertemporal mean-variance model with negative serial correlation of returns.
• For example, serial correlation ( error terms correlated across time ) has multiple distinct meanings.
• If the Durbin Watson statistic is substantially less than 2, there is evidence of positive serial correlation.
• Under alternative measures proposed in the study, the serial correlation of consumption growth is found to be positive.
• In statistics, Bochner's theorem can be used to describe the serial correlation of certain type of time series.
• This is due to serial correlation between successive values of the sequence " X " " n ".
• Serial correlation of the residuals can indicate model misspecification, and can be checked for with the Durbin Watson statistic.
• However, real-world data often does not meet this requirement; it is autocorrelated ( also known as serial correlation ).
• Low serial correlations ( around 0.05 ) exist in the short term, and slightly stronger correlations over the longer term.
• For example, it is not suitable for a Monte Carlo simulation because of the serial correlation ( among other things ).
• The model generates each storm randomly; there is no serial correlation, and the order of storms does not reflect seasonal patterns.
• The assumption is of serial correlation, i . e . once in a trend, the market is likely to continue in that direction.
• Although serial correlation does not affect the consistency of the estimated regression coefficients, it does affect our ability to conduct valid statistical tests.
• If the Durbin Watson statistic indicates the presence of serial correlation of the residuals, this can be remedied by using the Cochrane Orcutt procedure.
• There was speculation that this would cause the next couple years to be cooler because of the large serial correlation in the global temperatures.
• Second, positive serial correlation typically causes the ordinary least squares ( OLS ) standard errors for the regression coefficients to underestimate the true standard errors.
• Because the test is based on the idea of Lagrange multiplier testing, it is sometimes referred to as "'LM test for serial correlation . "'