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|Title||Explicit equations for ACF in the presence of heteroscedasticity disturbances in first-order autoregressive models, AR (1)|
The autocorrelation function, ACF, is an important guide to the properties of a time series. We derive explicit equations for ACF in the presence of heteroscedasticity disturbances in first-order autoregressive, AR (1), models. We present two cases:(1) when the disturbance follows the general covariance matrix, Σ, and (2) when the diagonal elements of Σ are not all identical but ji, 0 ij ≠∀= σ. In addition, we derive an equation to transform a model with heteroscedastic disturbances such that the model has homoscedastic disturbances.
|Published in||The Journal of the Islamic University of Gaza|
|Series||Volume: 17, Number: 2|
|Item link||Item Link|