Compute Correlation and Partial Correlation Functions 

Autoregressive (AR) and moving average (MA) processes.

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X ar = ARProcess[{-.2, .2, .4}, 1]; ma = MAProcess[{-.2, .2, .4}, 1];

It is difficult to identify the type of process from the sample paths alone.

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X ListPlot[RandomFunction[#, {0, 100}], Filling -> 0, PlotLabel -> Head[#]] & /@ {ar, ma}

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CorrelationFunction and PartialCorrelationFunction can be used to help identify AR and MA processes.

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X ListPlot[CorrelationFunction[#, {20}], PlotLabel -> Head[#], Filling -> 0, PlotRange -> {-.5, .5}, PlotStyle -> PointSize[Medium]] & /@ {ar, ma}

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X ListPlot[PartialCorrelationFunction[#, {20}], PlotLabel -> Head[#], Filling -> 0, PlotRange -> {-.5, .5}, PlotStyle -> PointSize[Medium]] & /@ {ar, ma}

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