ergodic time series

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• Ergodic theory — is a branch of mathematics that studies dynamical systems with an invariant measure and related problems. Its initial development was motivated by problems of statistical physics. A central concern of ergodic theory is the behavior of a dynamical …   Wikipedia

• Dynamical system — This article is about the general aspects of dynamical systems. For technical details, see Dynamical system (definition). For the study, see Dynamical systems theory. Dynamical redirects here. For other uses, see Dynamics (disambiguation). The… …   Wikipedia

• Markov chain — A simple two state Markov chain. A Markov chain, named for Andrey Markov, is a mathematical system that undergoes transitions from one state to another, between a finite or countable number of possible states. It is a random process characterized …   Wikipedia

• Asymptotic equipartition property — In information theory the asymptotic equipartition property (AEP) is a general property of the output samples of a stochastic source. It is fundamental to the concept of typical set used in theories of compression.Roughly speaking, the theorem… …   Wikipedia

• Chaos theory — This article is about chaos theory in Mathematics. For other uses of Chaos theory, see Chaos Theory (disambiguation). For other uses of Chaos, see Chaos (disambiguation). A plot of the Lorenz attractor for values r = 28, σ = 10, b = 8/3 …   Wikipedia

• Autocorrelation — is a mathematical tool for finding repeating patterns, such as the presence of a periodic signal which has been buried under noise, or identifying the missing fundamental frequency in a signal implied by its harmonic frequencies. It is used… …   Wikipedia

• Lyapunov exponent — In mathematics the Lyapunov exponent or Lyapunov characteristic exponent of a dynamical system is a quantity that characterizes the rate of separation of infinitesimally close trajectories. Quantitatively, two trajectories in phase space with… …   Wikipedia

• Stationary process — In the mathematical sciences, a stationary process (or strict(ly) stationary process or strong(ly) stationary process) is a stochastic process whose joint probability distribution does not change when shifted in time or space. Consequently,… …   Wikipedia

• List of statistics topics — Please add any Wikipedia articles related to statistics that are not already on this list.The Related changes link in the margin of this page (below search) leads to a list of the most recent changes to the articles listed below. To see the most… …   Wikipedia

• Markov switching multifractal — In financial econometrics, the Markov switching multifractal (MSM) is a model of asset returns that incorporates stochastic volatility components of heterogeneous durations.[1][2] MSM captures the outliers, log memory like volatility persistence… …   Wikipedia

• Ordinary least squares — This article is about the statistical properties of unweighted linear regression analysis. For more general regression analysis, see regression analysis. For linear regression on a single variable, see simple linear regression. For the… …   Wikipedia