Mountain Bikn' Guy wrote: > > > > Note that the "predictive ability" *is* affected in the sense that > > a prediction interval for the next observation will not have the > > correct coverage probability, because you have ignored the explanatory > > effect of the immediately previous observations. > > My working assumption is that the explanatory effect of any (originally) > previous observation is irrelevant. The model does not need to take into > account the value of previous observations. Given this situation, I would > think that using time series techniques and methods would be inappropriate > (even though I do collect the data sequentially over time).
Not inappropriate. Perhaps "overkill", perhaps not statistically significant, but certainly appropriate. > > Note that your future observations still arrive /in order/, not > > shuffled. It doesn't help you to pretend otherwise. > > The fact that future values may arrive in order is, again, irrelevant. I > will use the model to predict a future value out of order (ie, in the same > way oen would use any linear regression equation) so again, I do not think I > should/could use time series methods. The reason for using time series models is simple: To make autocorrelation work _for_ you, by improving the forecasts. Just ask yourself this question: In predicting the next value, will you be able to make a better forecast (with a tighter forecast interval) knowing the current value? If yes, time series analysis should be used. If not, or if you don't care about forecast intervals, use any method you like. > The dilemma is that time series methods seem inappropriate, but there are > also violations of most of the assumptions for using std regression methods > as well unless I take actions to offset these (for example, resorting the > data). Maybe I need to go completely to non parametric methods... ? Why do I get the impression that you are grasping at straws? What assumptions are you talking about, how are they violated, and why does re-sorting the data fix whatever problems you got? . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
