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Autocorrelation

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hillol kashyap
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7 views2 pages

Autocorrelation

Uploaded by

hillol kashyap
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Autocorrelation, also known as serial correlation, measures the relationship


between a time series and a lagged version of itself over successive time
intervals. Essentially, it quantifies how current values in a time series are related
to past values.
Here are some key points about autocorrelation:
1. Definition: Autocorrelation is the correlation between observations of a
time series separated by a specific time lag. For example, it measures how
today’s value relates to yesterday’s value, last week’s value, etc.
2. Autocorrelation Function (ACF): The ACF is a tool used to identify the
degree of correlation between different lags in a time series. It helps in
understanding the patterns and properties of the data, such as trends and
seasonality1.
3. Significance: High autocorrelation at certain lags indicates that past
values have a strong influence on current values. This is useful for
forecasting and modeling time series data 2.
4. Applications: Autocorrelation is widely used in fields like finance (e.g.,
stock prices), meteorology (e.g., temperature data), and economics (e.g.,
GDP growth rates) to identify patterns and make predictions 3.
5. Partial Autocorrelation: This measures the correlation between
observations at different lags, removing the effects of shorter lags. It helps
in identifying the direct relationship between observations separated by a
specific lag1.
If you have any specific questions or need further details, feel free to ask!
1
: Statistics by Jim 2: InfluxData 3: IBM

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