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  2. Technical Notes

Technical Notes

Explore our technical articles on statistics, time series analysis, and forecasting. Our team developed these notes by attending time series analysis classes and regularly updated them with new insights, empirical observations, and intuitions. We often refer to these notes to effectively address development challenges and product support issues.

Data Preparation

  • Stationarity
  • Homogeneity
  • Concentration of Values
  • Outliers
  • Missing Values

Descriptive Statistics

  • KDE Optimization – Unbiased Cross-Validation
  • KDE – Direct Plug-In Method
  • KDE Optimization Primer
  • A Correlogram tale
  • The Ins and Outs of Histograms
  • Which autocorrelation (ACF) estimation method should I use?

Statistical Testing

  • Augmented Dickey-Fuller Test
  • ARCH Test Explained

Smoothing

  • Part I - Different Smoothing Methods
  • Part II - Auto-Calibrate Values of Smoothing Parameters
  • Part III - Finding Optimal Initial Values for Smoothing
  • Keep up with the trends

Forecasting Performance

  • Forecast Performance Measures Survey

Modeling

  • Calendar Effects
  • Patterns Unplugged
  • For goodness of fit's sake
  • Backward Forecast

ARMA/ARIMA Modeling

  • Moving Average (MA) Model
  • Autoregressive (AR) Model
  • ARMA Unplugged
  • ARIMA to the Rescue
  • X12-ARIMA Support with NumXL

ARCH/GARCH Modeling

  • Understanding Exponential Weighted Volatility (EWMA)
  • Volatility 1: The Basics
  • Volatility 2: Future Volatility Modeling
  • Volatility 3: Autoregressive Conditional Heteroscedasticity (ARCH)

Factors Analysis

  • Multiple Linear Regression (MLR) Forecast Error

Spectral Analysis

  • Calculating Signal-to-Noise Ratio Using DFT
  • Discrete Fourier Transform (DFT) - Trigonometric Representation
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