Autocorrelation and Partial Autocorrelation Functions of AR(1) Process

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Uploaded by on Apr 17, 2010

http://demonstrations.wolfram.com/AutocorrelationAndPartialAutocorrelationFun...

The Wolfram Demonstrations Project contains thousands of free interactive visualizations, with new entries added daily.

This Demonstration shows realizations of an autoregressive process of order one (AR(1)), its autocorrelation function (ACF), and its partial autocorrelation (PACF) function. The first tab, "sample AR(1)" shows realization of r_t: r_t=?_0+?_1r_t-1+?_t, w...

Contributed by: Jozef Barunik

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