Embargo: ACF Memory

A residual's autocorrelation at lag 1 is 0.95. Under an AR(1) model, what is it at lag 3?

• 0.85
• About 0.857
• 2.85

Where does the φ used to size the embargo come from?

• The training residual only
• The test window, because that is where the embargo sits
• Both windows together, for a better estimate