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I knwo that the autocorrelation in MA(1) process varies between -.5 and +.5, if we consider d(t)=c+e(t)−θ⋅e(t−1),then for positive values of Theta, autocorrelation is negative and for negative values of Theta autocorrelation is positive. Now I'm wondering if the autocorrelation of IMA(1,1) process also follows the same pattern as MA(1)? If the process is IMA(1,1) as follows d(t)=c+d(t-1)+e(t)−θ⋅e(t−1), whether for negative values autocorrelation is positive and for positive values autocorrelation is negatve? how can I calculate the range of autocorrelation for IMA(1,1) process?

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If the process isn't stationary, how are you defining/calculating the autocorrelation function? – caburke Dec 14 '12 at 16:17
more clerly what does it mean high positive Theta or high negative Theta in IMA(1,1)?is it the same as MA(1)? – Roji Dec 14 '12 at 16:20

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