Time Series Talk : Lag Operator

Intro to the lag operator in time series analysis.

[BorisBelugaxo]

So much clearer than my lecturer, thankyou!

[ahmedashry]

u r 1 of the best i have ever seen instructors, many thx from Egypt

[rahulahuja]

Thanks for such lucid explanations. I think I'm gonna have to go through all your videos.

[kaiyanzhu]

Thank you so much, it is the best video about the Lag operator, I have read the book of Shamway and Brockwell, BUt your explaination is easy to understand it! It is helpful to me !

[cryptovizart]

The order of videos in the playlist is not right

[chenghaoyang]

hey legend can u give each of your video a order number

[castro_hassler]

If I only see the final equation, how do I know the actual lagged value?
Those capital letters need a number, don't they ?

[PinkFloydTheDarkSide]

The final equation at 5:14 does shorten the long equation but doesn't it take away a piece of crucial information on how many lags are there? Looking at your final equation I cannot tell there were three lags in the original equation. So how is that handled?

[sashacooper]

I'm confused by what's going on at 3.35. It seems like we're 'factorising' the argument to a function, which wouldn't normally be a valid operation. What makes it permissible here?

[jeeves]

The final simplified equation has no reference to how many lags there were (3). So is this just a generic equation for ARMA, regardless of the order?

[mina]

your videos are amazing!! really helpful!!! :)

[cmedina]

Good video! Very helpful. Can you make a video talking about the difference operator?

[junyihou]

how can you tell it has a lag value of 3? do you need to use ARMA(n, m) values?

[CrossoverFlowMuzik]

Nice video. Just a heads up: Capital "Fee" looks like this: Φ and capital theta looks like this: Θ

[fyaa]

It is somehow strange to factor out an "operation", but hey, it is just notation ;-).

[stefanopalliggiano]

There is still a thing that I don't understand: how can the lag operator have the same value throughout the time series? Let's say, for argument's sake, that y(t) = 10, y(t-1) = 7 and y(t-2) = 8. If we calculate L as y(t-1)/y(t), we get 7/10. However, if we calculate it as y(t-2)/y(t-1) it will be 9/7, and it is a different value. I understand that if we combine the steps we get 9/10, but each time the value of L changes, so how can we say that it's L^2? It should be L(t)*L(t-1).

[amadoum.jallow]

Can you please recommend a good book for time series?

[DM-pypj]

1:09 shouldn't there be a timeseries mean (c) term on the rhs?

[Junior-qmlz]

What if the sign is different at t-1 and t-2?. How do we represent that polynomial?

[RaymondPeckIII]

This is great, but isn't it confusing/misleading to use the terms "squared" and "cubed" here? These aren't really squared and cubed; they're superscripts.