Answer by Fr1 for Intuition of the convergence of sample ACF
Referring to the first case, since x is a simple trend it increases linearly as a function of b. That is: $x_t=x_{t-1}+b$. So it is a perfectly predictable process where the first difference is...
View ArticleIntuition of the convergence of sample ACF
One of the problems in Brockwell and Davis book about time series is to show that 1) if \begin{equation} x_t = a + b t \end{equation} then the sample autocorrelation ($\hat{\rho}(h)$) converges to 1...
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