期刊名称：Journal of Modern Applied Statistical Methods
出版年度：2011
卷号：10
期号：2
页码：20
出版社：Wayne State University
摘要：The autocorrelation function, ACF, is an important guide to the properties of a time series. Explicit equations are derived for ACF in the presence of heteroscedasticity disturbances in pth order autoregressive, AR(p), processes. Two cases are presented: (1) when the disturbance term follows the general covariance matrix, Σ , and (2) when the diagonal elements of Σ are not all identical but σi,j = 0 ∀i ≠ j.
关键词：Heteroscedasticity; homoscedasticity; autocorrelation; autoregressive; covariance; disturbance; time series
