A Heisenberg Bound for Stationary Time Series

Eric Blankmeyer
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Eric Blankmeyer: Southwest Texas State University

Econometrics from EconWPA

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.

Keywords: Stationary; time; series; Heisenberg; uncertainty; principle (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 1999-04-21
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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