Department of Electrical Engineering
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Browsing Department of Electrical Engineering by Subject "acf"
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Item A NOTE ON THE AUTOCOVARIANCE OF p-SERIES LINEAR PROCESS(Canadian University of Dubai, 2020-12-01) Kamalov, FiruzIn this note, we provide tight boundaries for the autocovariance function of a stochastic linear process with p-series coefficients. © 2020, Canadian University of Dubai. All rights reserved.Item Autocorrelation for time series with linear trend(Institute of Electrical and Electronics Engineers Inc., 2021-09-29) Kamalov, Firuz; Thabtah, Fadi; Gurrib, IkhlaasThe autocorrelation function (ACF) is a fundamental concept in time series analysis including financial forecasting. In this note, we investigate the properties of the sample ACF for a time series with linear trend. In particular, we show that the sample ACF of the time series approaches 1 for all lags as the number of time steps increases. The theoretical results are supported by numerical experiments. Our result helps researchers better understand the ACF patterns and make correct ARMA selection. © 2021 IEEE.