Autocorrelation

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Related to Auto-correlation: multicollinearity, Autocorrelation function, Cross correlation

Autocorrelation

The correlation of a variable with itself over successive time intervals. Sometimes called serial correlation.

Serial Correlation

In technical analysis, a measure of how well past occurrences predict future occurrences. Most importantly, serial correlation checks whether and how often a particular price movement will result in a different price movement. Serial correlation lies at the heart of technical analysis. It is also called autocorrelation.
References in periodicals archive ?
The auto-correlation function evaluated from Eq 10, shown in Fig.
The Ljung-Box Q statistic, auto-correlation function, and partial auto-correlation function for the residuals of the model all indicate a white noise residual series.
Table 1 Descriptive Statistics of the Data and Estimated Auto-Correlation This table presents the descriptive statistics of the data and the estimated autocorrelation coefficients using variance-ratio and runs tests.
where A is the index of auto-correlation, C is the structural variance, and [C.
The experimental findings, using fiber ring oscillator, the peak side lobe level can reduce the auto-correlation curve generated chaotic signal semiconductor lasers with optical feedback, the signal-to-noise ratio so as to improve the optical time domain measurement system with chaotic laser correlation method [19].
They consider such aspects as simple linear profiles, binary response profiles, parametric and nonparametric nonlinear profiles, statistical process control for geometric specifications, and correlation and auto-correlation in profiles.
For the analysis of determinants of fiscal deficit we used the Multiple Regression model and also tested for auto-correlation and multicollinearity.
DSP library functions, including: decimation filters, auto-correlation, FIR (complex, semi-complex, real), LMS, matrix mathematics, etc.
We used auto-correlation analysis to determine the purity of each spike class and cross-correlation analysis to detect synaptic interactions among spike classes (for details on auto- and cross-correlation analyses, see Gaffin & Brownell 1997a; Eggermont 1990).
Even at a lag of 20 the auto-correlation coefficient is still high having a value of 0.
In 17 concise chapters and a remarkable collection of appendices be describes the Langevin equation, the fluctuation-dissipation relation, auto-correlation of velocity, Markov processes, the Fokker-Planck equation, the diffusion equation, diffusion in a finite region, Brownian motion, first-passage time, displacement phase-space Fokker-Planck equations, diffusion as a potential, diffusion in a magnetic field, Kubo-Green formulas, dynamic mobility, and the generalized Langevin equation.
This auto-correlation can be understood as a fade rate; that is, the speed at which a rate converges to its long-run stable rate.