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Richard Hardy
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Why does differencing time-series introduce 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?

Here are some plots:

Series with positive autocorrelation before differencing

Series with positive autocorrelation before differencing

Autocorrelation before differencing

Autocorrelation before differencing

Series after differencing

Series after differencing

Autocorrelation after differencing

Autocorrelation after differencing

Kochede
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