Time Series Autocorrelation & Yule-Walker 📊

This video, details the process of deriving the autocorrelation function using the Yule-Walker equation. In this video, you will learn how the Yule-Walker equation link the autocorrelation function to the autoregressive model coefficients, the step-by-step guide on how to compute the autocorrelation function using the Yule-Walker equations, a hands-on example of applying the Yule-Walker method to real-world data to estimate the autocorrelation. You'll also learn, how the Yule-Walker equations provide a relationship between the autocorrelation function and the parameters of an autoregressive (AR) model, making it easier to model and predict time series data.

By the end of this video, you'll have a clear understanding of how to obtain the autocorrelation function and use it in time series analysis and modeling tasks.

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#Autocorrelation #YuleWalker #Timeseries #TimeSeriesAnalysis #ARModel #DataScience #Forecasting #SignalProcessing