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ΕΘΝΙΚΟ ΚΑΙ ΚΑΠΟΔΙΣΤΡΙΑΚΟ ΠΑΝΕΠΙΣΤΗΜΙΟ ΑΘΗΝΩΝ ΤΜΗΜΑ ΟΙΚΟΝΟΜΙΚΩΝ ΕΠΙΣΤΗΜΩΝ PAGE 40 STUDENT GUIDE 2017-18 DEPARTMENT…

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ARMA Autocorrelation Functions • For a moving average process, MA(q): xt = wt + θ1wt−1 + θ2wt−2 + · · ·+ θqwt−q. • So (with θ0 = 1) γ(h) = cov ( xt+h, xt…

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