1. Dependence analysis of regression models in time series
- Author
-
Maochao Xu, Shengwang Meng, and Xuanhe Wang
- Subjects
Polynomial regression ,Statistics::Theory ,Linear model ,Regression analysis ,Moving-average model ,Autoregressive model ,Linear regression ,Statistics ,Computer Science (miscellaneous) ,Statistics::Methodology ,Statistical physics ,Factor regression model ,STAR model ,Information Systems ,Mathematics - Abstract
In this paper, the relative dependence of a linear regression model is studied. In particular, the dependence of autoregressive models in time series are investigated. It is shown that for the first-order non-stationary autoregressive model and the random walk with trend and drift model, the dependence between two states decreases with lag. Some numerical examples are presented as well.
- Published
- 2012