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Time Series Predictability — Is Cointegration a Statistical Fluke?
April 1, 2022, 12:31 p.m. | Diego Barba
Towards Data Science - Medium towardsdatascience.com
Time Series Predictability — Is Cointegration a Statistical Fluke?
Box Tiao canonical decomposition λ statistic using Monte Carlo simulations in Python
Image by author.In this story we will shed some light on something quite unsettling regarding time series conintegration, that is model overfitting. Usually, we associate overfitting with other kinds of models, but not with conintegration, after all, if we find a stationary linear combination isn’t that enough? It turns out that it is not.
When we increase the …
cointegration statistical statistics time time series time-series-analysis
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