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A Heisenberg Bound for Stationary Time Series

Author

Listed:
  • Eric Blankmeyer

    (Southwest Texas State University)

Abstract

Heisenberg's principle of indeterminacy is applied to stationary time series models. The position and velocity of a forecast are defined and are shown to be imperfectly correlated. Then a first-order autoregression is used to illustrate the trade-off between precision of position and precision of velocity. A counterpart of Planck's constant is identified, and the Heisenberg bound is derived for several autoregressive moving- average models. The time-energy version of the Heisenberg principle is discussed in the context of a stationary model in continuous time.

Suggested Citation

  • Eric Blankmeyer, 1999. "A Heisenberg Bound for Stationary Time Series," Econometrics 9904003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:9904003
    Note: Type of Document - text MS Word 109 kb; prepared on IBM PC ; to print on HP; pages: 12 ; figures: included/request from author/draw your own.
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    More about this item

    Keywords

    Stationary time series Heisenberg uncertainty principle;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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