8Correlograms
The correlogram is probably the most useful tool in time‐series analysis after the time plot.
(Chris Chatfield, 2001, p. 30)
Interpreting a correlogram is one of the hardest tasks in time‐series analysis…
(Chris Chatfield, 2001, p. 31)
Among the major tools traditionally associated with univariate time‐series analysis are two sample correlograms that provide information about the correlation structure and, within the ARMA(
) model class, about possible candidates for 
and 
. These are studied in detail in this chapter.
8.1 Theoretical and Sample Autocorrelation Function
8.1.1 Definitions
Recall the calculation of the autocovariances 
, or 
, 
, of a stationary, invertible ARMA(
) process, as discussed in Section 7.4.1. It is more common in applications with real data and the assessment ...
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