Correlograms for non‐stationary autoregressions

Bent Nielsen

Journal of the Royal Statistical Society Series B, 2006, vol. 68, issue 4, 707-720

Abstract: Summary. Analysis of time series often involves correlograms and partial correlograms as graphical descriptions of temporal dependence. Two methods are available for computing these statistics: one based on autocorrelations and the other on scaled autocovariances. For a stationary time series the resulting plots are nearly identical. When it comes to time series exhibiting non‐stationary features these methods can lead to very different results. This has two consequences: incorrect inferences can be drawn when confusing these concepts; better discrimination between stationary and non‐stationarity is achieved when using autocorrelations instead of, or along with, the autocovariances which are commonly used in statistical software.

Date: 2006
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https://doi.org/10.1111/j.1467-9868.2006.00563.x

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Working Paper: Correlograms for non-stationary autoregressions (2003)
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