[SciPy-User] OT: advice on modelling a time series

Robert Kern robert.kern@gmail....
Fri Mar 12 10:26:27 CST 2010


On Fri, Mar 12, 2010 at 09:46, Robin <robince@gmail.com> wrote:

> So, could anyone point me to anything that would be helpful in python
> (so far I did the AR with a matlab package I found)? Also any
> suggestions for how to proceed would be great - other than reading the
> wikipedia article I am completely new to this type of AR modelling. So
> far the only ideas I have involve either downsampling the signal (to
> try to reduce the order of AR model needed), or splitting it in
> frequency to low f/high f components and attempting to model them
> separately then recombine. Do either of these seem sensible?

The econometricians here will probably have more to add here, but I
suspect that you could use an ARCH or GARCH model:

  http://en.wikipedia.org/wiki/Autoregressive_conditional_heteroskedasticity

Josef was working on implementing GARCH, but I don't think he
finished. There is MATLAB code:

  http://www.kevinsheppard.com/wiki/MFE_Toolbox

And R code:

  http://cran.r-project.org/web/views/Finance.html

> Is it likely some non-linear model would be required (pos,vel and acc
> all have high kurtosis), or are normal AR models capable of recreating
> this kind of fine structure if tweaked sufficiently?

It is possible that once you allow heterskedasticity, you can account
for the marginal kurtosis.

-- 
Robert Kern

"I have come to believe that the whole world is an enigma, a harmless
enigma that is made terrible by our own mad attempt to interpret it as
though it had an underlying truth."
  -- Umberto Eco


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