Finding the ACF of AR(1) process
For an AR(1) process: $X_{t} = \phi X_{t-1} + w_{t}$ with $w_{t} \sim N(0,\sigma^{2})$ How do you derive the ACF of the process? Since $E[X_{t}] = 0$, wou...
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For an AR(1) process: $X_{t} = \phi X_{t-1} + w_{t}$ with $w_{t} \sim N(0,\sigma^{2})$ How do you derive the ACF of the process? Since $E[X_{t}] = 0$, wou...
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