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Explicit Equations For Acf In Autoregressive Processes In The Presence Of Heteroscedasticity Disturbances, Samir Safi
Explicit Equations For Acf In Autoregressive Processes In The Presence Of Heteroscedasticity Disturbances, Samir Safi
Journal of Modern Applied Statistical Methods
The autocorrelation function, ACF, is an important guide to the properties of a time series. Explicit equations are derived for ACF in the presence of heteroscedasticity disturbances in pth order autoregressive, AR(p), processes. Two cases are presented: (1) when the disturbance term follows the general covariance matrix, Σ , and (2) when the diagonal elements of Σ are not all identical but σi,j = 0 ∀i ≠ j.