AR, MA and ARMA models - Hedibert

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1) , one can rewrite a stationary AR(1) model as r t= ˚ 0 + ˚ 1r t 1 + a t; such that ˚ 1 measures the persistence of the dynamic dependence of an AR(1) time series. The ACF of the AR(1) is l= ˚ 1 l 1 l>0; where 0 = ˚ 1 1 + ˙ a 2 and l= . Also, ˆ l= ˚l 1; i.e., the ACF of a weakly stationary AR(1) series decays exponentially with rate ...

  Model, Stationary