Time Series Analysis Autocorrelation and Partial Autocorrelation

Question 1

What does the autocorrelation function (ACF) measure in a time series?

Accepted Answer

The correlation between a series and a lagged version of itself

Answer

The correlation between two different time series at the same time point

Answer

The rate of change of a series over time

Answer

The variance of a series at different time points

Question 2

In a correlogram (ACF plot), what does a spike at lag 1 that decays slowly suggest?

Accepted Answer

The series is non-stationary or has a trend

Answer

The series has a seasonal component

Answer

The series follows a pure MA(1) process

Answer

The series has no autocorrelation

Question 3

What is the range of possible values for the autocorrelation coefficient?

Accepted Answer

-1 to 1

Answer

0 to 1

Answer

-∞ to +∞

Answer

0 to +∞

Question 4

For a white noise process, what is the expected value of all autocorrelations at lags greater than zero?

Accepted Answer

0

Answer

1

Answer

-1

Answer

0.5

Question 5

The approximate 95% confidence bounds on an ACF plot for a series of length n are typically drawn at:

Accepted Answer

±2/√n

Answer

±1/n

Answer

±1/√n

Answer

±2/n

Question 6

Which of the following best describes the theoretical ACF of a pure MA(q) process?

Accepted Answer

It cuts off to zero after lag q

Answer

It decays exponentially without cutting off

Answer

It oscillates between positive and negative values indefinitely

Answer

It equals 1 at all lags

Question 7

What does a negative autocorrelation at lag 1 in a time series indicate?

Accepted Answer

High values tend to be followed by low values and vice versa

Answer

The series has a positive trend

Answer

The series is non-stationary

Answer

The series is perfectly predictable