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Autocorrelation and the AR Model

Measuring how long a series remembers, the simplest model that produces such memory, and the exact factor by which dependence inflates the uncertainty of an average.

IntermediateModule 230 min · 120 XP
A series sliding over a copy of itself one lag at a time, the correlation at each lag dropping into a bar chart that decays geometrically, and an error bar for the mean stretching to 2.4 times its naive width.

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