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?
Cet exercice fait partie du cours
Time Series Analysis in R
Exercice interactif pratique
Passez de la théorie à la pratique avec l’un de nos exercices interactifs
