Autocorrelation & Time Series

Generate and analyze stochastic processes: signal, autocorrelation function (ACF), partial ACF, and power spectral density. Each process has a distinctive fingerprint.

AR param φ₁ 0.80 AR param φ₂ 0.10 MA param θ 0.50 Hurst H 0.80

Mean: –
Std: –
Lag-1 ACF: –

AR(1): x_t = φ₁x_{t-1} + ε_t. Geometric ACF decay rate = φ₁. Stationary when |φ₁|<1. Partial ACF cuts off at lag 1.