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School of Engineering, Applied Science and Technology
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School of Engineering, Applied Science and Technology
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http://hdl.handle.net/20.500.12519/564
This community includes articles, book chapters, and conferences published by the School of Engineering, Applied Science and Technology faculty members.
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Browsing School of Engineering, Applied Science and Technology by Subject "acf"
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A NOTE ON THE AUTOCOVARIANCE OF p-SERIES LINEAR PROCESS
(
Canadian University of Dubai
,
2020-12-01
)
Kamalov, Firuz
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In 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.
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Autocorrelation for time series with linear trend
(
Institute of Electrical and Electronics Engineers Inc.
,
2021-09-29
)
Kamalov, Firuz
;
Thabtah, Fadi
;
Gurrib, Ikhlaas
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The 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.
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