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?
Deze oefening maakt deel uit van de cursus
Time Series Analysis in R
Praktische interactieve oefening
Zet theorie om in actie met een van onze interactieve oefeningen.
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