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Exercise

Persistence and anti-persistence

Autoregressive processes can exhibit varying levels of persistence as well as anti-persistence or oscillatory behavior. Persistence is defined by a high correlation between an observation and its lag, while anti-persistence is defined by a large amount of variation between an observation and its lag.

The four plots on the right show varying degrees of persistence and anti-persistence. Which series exhibits the greatest persistence?

Instructions

50 XP

Possible answers