Question: a) Explain the auto-correlation function, and its use in time-series analysis. b) In time-series analysis, one often relies on decomposition, by which the time-series is

 a) Explain the auto-correlation function, and its use in time-series analysis.

b) In time-series analysis, one often relies on decomposition, by which the

a) Explain the auto-correlation function, and its use in time-series analysis. b) In time-series analysis, one often relies on decomposition, by which the time-series is decomposed into a "trend" and a "remainder". The remainder component is often expected to be uncorrelated, i.e., close to random noise. Describe the auto-correlation of perfect random noise. c) Stationarity is a fundamental concept in time-series analysis. Give one of its multiple definitions, and give an example of a stationary process and of a non-stationary process

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Mathematics Questions!