Explicit Equations for ACF in Autoregressive Processes In the Presence of Heteroscedasticity Disturbances

Authors

Samir Safi, The Islamic University of GazaFollow

Abstract

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 σ_i,j = 0 ∀i ≠ j.

DOI

10.22237/jmasm/1320121140