2
$\begingroup$

Calculating the acf and pacf of an AR process with zero mean is straightforward, but does anyone knows how to proceed when the mean is not zero? Of course my intention is to calculate the theoretical acf and pacf, and not the numerical values.

Some course books that I have do not help at all, as all of them assume the mean is zero (for simplicity!) and the Internet also has not been any help.

Thanks!

Improve this question
$\endgroup$

1 Answer 1

Reset to default
3
$\begingroup$

Just subtract the mean from all observations. Then proceed as if the mean is zero.

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.