Autocorrelation definitions

Autocorrelation

==Regression analysis== In regression analysis using time series data, autocorrelation in a variable of interest is typically modeled either with an autoregressive model (AR), a moving average model (MA), their combination as an autoregressive moving average model (ARMA), or an extension of the latter called an autoregressive integrated moving ave...
Found on http://en.wikipedia.org/wiki/Autocorrelation

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Autocorrelation

The correlation of a variable with itself over successive time intervals. Sometimes called serial correlation.
Found on http://www.duke.edu/~charvey/Classes/wpg/bfglosa.htm

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autocorrelation

the jth autocorrelation of a covariance-stationary process is defined as its jth autocovariance divided by its variance. In a sample, the kth autocorrelation is the OLS estimate that results from the regression of the data on the kth lags of the data. Below is Gauss code to calculate autocorrelations from a sample. /* This functions calculates auto...
Found on http://www.econterms.com/glossary.cgi?query=autocorrelation

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Autocorrelation

The correlation of a variable with itself over successive time intervals.
Found on http://www.encyclo.co.uk/local/20047

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Autocorrelation

The correlation of a variable with itself over successive time intervals. Sometimes called serial co
Found on http://www.encyclo.co.uk/local/22402

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Autocorrelation

Is the statistical dependency of items within a time series. This compares to Serial Correlation.
Found on http://www.oasismanagement.com/glossary/

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autocorrelation

autocorrelation In statistics, a property displayed by some sequences of adjacent items not being independent of each other. Autocorrelation is a mathematical tool used frequently in signal processing for analyzing functions or series of values; such as, time domain signals. It is the cross-correlation of a signal with itself. Autocorrelation is u...
Found on http://www.wordinfo.info/words/index/info/view_unit/262/5

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Autocorrelation

The autocorrelation function gives a measure of the extent to which a signalcorrelates with a displaced version of itself, as a function of the displacement.whereR_AA(t) = autocorrelation of signal A as a function of displacementf_A(t) = signal A as a function of timeT = length of signal over which each correlation is calculated...
Found on https://www.encyclo.co.uk/local/20687

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autocorrelation

the correlation of an ordered series of observations with the same series displaced by the same number of terms.
Found on https://www.infoplease.com/dictionary/autocorrelation

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