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Results tagged with acf-pacf
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user 67799
The AutoCorrelation Function and Partial AutoCorrelation Function pertain to the correlation of a time series with itself at different lags. They are used to detect non-independence & suggest p, d, q terms in the Box-Jenkins approach to ARIMA modeling.
3
votes
ACF and PACF for a unit root process
Write the RW as (assuming a starting value $Y_0=0$)
$$Y_t = \sum_{s=1}^{t} \epsilon_s$$ and so
$$ \gamma_{tj} = E\left(\sum_{s=1}^t \epsilon_s \sum_{s=1}^{t-j}\epsilon_s\right) = (t-j)\sigma^2$$
Hen …
- 34.8k
2
votes
How to calculate autocorrelation manually
Next to the points about starting values raised in the comments, there is another issue related to the "manual" formula for a deterministic difference sequence of the type you use that, irrespective o …
- 34.8k