Question

An Ideal ACF plot will increase exponentially ?

Answer 1

This lesson defines the sample autocorrelation function (ACF) in general and derives the pattern of the ACF for an AR(1) model.  Recall from Lesson 1.1 for this week that an AR(1) model is a linear model that predicts the present value of a time series using the immediately prior value in time.

Stationary Series

As a preliminary, we define an important concept, that of a stationary series.  For an ACF to make sense, the series must be a weakly stationary series.  This means that the autocorrelation for any particular lag is the same regardless of where we are in time.







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