Question: Statistics and Probability For univariate time series, derive step-by-step the test for white noise based on the partial autocorrelation function. Hint: You can assume that

Statistics and Probability

For univariate time series, derive step-by-step the test for white noise based on the partial autocorrelation function. Hint: You can assume that the threshold in the test will be constant over all lags h > 0, therefore it suffices to find the threshold value at a single lag

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