Abstract: Abstract Assume that observations in a time series had been taken in fixed time intervals. In most cases (like for stationary time series), pairs of observations separated by a fixed number of intervals, k , will display a typical autocorrelation. This correlation is named autocorrelation of lag k , denoted as ρ k . The autocorrelation function displays ρ k as a function of k . It plays a central role in time‐series modeling. In this article, the autocorrelation function and the partial autocorrelation function are defined and their estimation procedures detailed.
Publication Year: 2007
Publication Date: 2007-12-14
Language: en
Type: other
Indexed In: ['crossref']
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Cited By Count: 1
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