In this case the 12 series (one for each month) are AR(1) processes that are uncorrelated if the…

Suppose = 1, = 0, and  = width= 0.7 in (6.5.5). In this case the 12 series (one for each month) are AR(1) processes that are uncorrelated if the white noise sequences for different months are uncorrelated. A graph of the autocorrelation function of this process is shown in Figure 6.16.

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