TS Module 10: autocorrelation functions HW
(The attached PDF file has better formatting.)
Homework assignment: Sample autocorrelations
A time series has ten elements: {10, 8, 9, 11, 13, 12, 10, 8, 7, 12}.
A. What is the sample autocorrelation of lag 1?
B. What is the sample autocorrelation of lag 2?
C. What is the sample autocorrelation of lag 3?
Show the derivations with a table like the one below. Remember to use the proper number of terms in the numerator, depending on the lag.
Entry | Entry | Deviation | Deviation Squared | Cross Product Lag1 | Cross Product Lag2 | Cross Product Lag3 |
1 | 10 | | | | | |
2 | 8 | | | | | |
3 | 9 | | | | | |
4 | 11 | | | | | |
5 | 13 | | | | | |
6 | 12 | | | | | |
7 | 10 | | | | | |
8 | 8 | | | | | |
9 | 7 | | | | | |
10 | 12 | | | | | |
Avg/tot | | | | | | |
Autocorr | | | | | | |