Timeline for Conceptual Question: Autocorrelation of autoregressive process
Current License: CC BY-SA 3.0
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| Apr 13, 2017 at 12:44 | history | edited | CommunityBot |
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| Nov 14, 2014 at 20:20 | vote | accept | SKM | ||
| Nov 14, 2014 at 19:47 | comment | added | Affine | @SKM Updated, hopefully clarifying things. I want to mention again that I'm unfamiliar with the autocorrelation matrix presentation, and so I am going off an assumption of what it represents. | |
| Nov 14, 2014 at 19:44 | history | edited | Affine | CC BY-SA 3.0 |
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| Nov 14, 2014 at 18:01 | comment | added | SKM | @Affine: Thank you for your answer, but this is not what I had asked. Sorry for being unclear. My question1 = Why is the variance considered to be the first element of the matrix which is $R_{xx}[0]$? As mentioned by whuber, the Variance calculation was already answered. In continuation to that my Question is why is the variance = $R_{xx}[0]$ the first element of the Autocorrelation matrix? What do we do with the rest of the elements of the Autocorrelation matrix? Is there a relationship between correlation & covariance (also mentioned in your answer, why $corr = \theta$ while calculating Cov) | |
| Nov 14, 2014 at 3:43 | comment | added | whuber♦ | +1. (You're going over old ground with the variance calculation, which was addressed in the OP's immediately preceding question at stats.stackexchange.com/questions/123796/…) | |
| Nov 14, 2014 at 3:36 | history | answered | Affine | CC BY-SA 3.0 |