Time series data has memory. It remembers what happened in the past and avenge any wrongdoings! Can you believe it? Okay the avenging part may not be true, but it definitely remembers the past. The “memory” refers to how strongly the past can influence the future in a given time series variable. If it has a strong memory, then we know that analyzing the past would be really useful to us because it can tell us what’s going to happen in the future. If you need a quick refresher, you can check out my blog post where I talked about memory in time series data. We have a high level understanding of how we can classify time series data into short memory and long memory, but how do we actually measure the memory?
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