Skip to main content
1 of 7
Kochede
  • 2.1k
  • 1
  • 20
  • 20

why time-series differencing introduces negative autocorrelation

For example, this mentioned here: link. I also saw this in my data. I wonder - does anyone know a good reference where this is explained and justified more rigorously with some math and for some more-or-less wide class of processes?

Kochede
  • 2.1k
  • 1
  • 20
  • 20