Show that if x_{t+l}=Ax_{t}, then rho(l)=1 if A>0, and rho(l)=-1 if A<0

Kayley Dickson

Kayley Dickson

Answered question

2022-11-10

Show that if x t + l = A x t , then ρ ( l ) = 1 if A > 0, and ρ ( l ) = 1 if A < 0.

Answer & Explanation

grizintimbp

grizintimbp

Beginner2022-11-11Added 16 answers

Step 1
By definition we know that ρ ( l ) = γ ( l ) γ ( 0 )
So for x t + l = A x t we have
γ ( l ) = c o v ( x t , x t + l ) = c o v ( x t , A x t ) = A γ ( 0 )
and it follows that
ρ ( l ) = A γ ( 0 ) γ ( 0 ) = A
Because of stationarity
V a r ( x t ) = V a r ( x t + l ) = V a r ( A x t ) = A 2 V a r ( x t )
which implies that A 2 = 1 , and thus
ρ ( l ) = 1 = ± 1

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