Oscillatory unit-root diagnosis from an undamped sample autocorrelation
ID: oscillatory-unit-root-diagnosis-from-an-undamped-sample-autocorrelation
A large, slowly damping oscillatory sample autocorrelation function suggests autoregressive zeros near a conjugate pair on the unit circle. For period , the pair is near , with minimal real filter . Such a plot is evidence, not proof: a finite sample cannot distinguish a near-unit stationary model or a random sinusoid solely from the shape.
New to topics? Read the docs here!