Computing the autocorrelation function for the autoregressive process

MaRDI QIDQ4691669zbMATH OpenFDO

Authors Omar Talib, Souleimane Cheikh Sidi Mohamed

Publication date 24 October 2018

Full work available at URL https://scholar.rose-hulman.edu/rhumj/vol18/iss1/1

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• The partial autocorrelation function of an ARMA (1,1) process
• Estimating the differencing parameter via the partial autocorrelation function
• On the estimation of the autocrrelation function
• Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes

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