TSA Definitions from week 1 -7

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Moving average

Symmetrical moving average

Simple moving average

Simple symmetrical moving average

AIC and AICc

Average method for forecasting (no trend)

Naive approach for forecasting (no trend)

Simple moving average for forecasting (no trend)

Exponential smoothing for forecasting (no trend)

Seasonal naive approach for forecasting (no trend)

Drift method for forecasting (trend, but no seasonality)

Holt’s method for forecasting (trend, but no seasonality)

Multiplicative Holt-Winters for forecasting (trend and seasonality)

Additive Holt-Winters for forecasting (trend and seasonality)

Stochastic (random) process

Time series model

Strongly stationary stochastic process

k-th moment of the m-dimensional random vector

K-th order weakly stationary stochastic process

Autocovariance function

Autocorrelation function (ACF)

Sample autocovariance function

Sample autocorrelation function

White noise (example of stochastic process)

First order moving average process (MA(1) process) (example of stochastic process)

Random walk (example of stochastic process)

Random walk with drift (example of stochastic process)

Linear trend + noise process (example of stochastic process)

Portmanteau test or Box-Pierce test

The Ljung-Box test

Wold decomposition

Deterministic process

General linear process

Lag operator

Invertible general linear process

Lemma power series of Psi function converging

Least-squares projector

Partial correlation coefficient

k-th order partial autocorrelation coefficient (PACF)

p-th order autoregressive process AR(p)

q-th order moving average process

ARMA (p, q) process

Lemma about the transformations of AR, MA and ARMA processes