Explicit equations for acf in the presence of heteroscedasticity disturbances in first-order autoregressive models, ar (1)‎

Abstract EN

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, S , and (2) when the diagonal elements of S are not all identical but 0, i j ij s = " ¹ .

In addition, we derive an equation to transform a model with heteroscedastic disturbances such that the model has homoscedastic disturbances