Autocorrelation

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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 ?
Equation (1)) is specified more completely in the sense that, in this model specification, the errors are no longer autocorrelated.
8) In retrospect, it seems unsurprising that meteor showers should predominate over heat waves in a world of global trading and a high degree of autocorrelated common shocks across countries: News tends to cluster in time and will surely affect volatility across the globe.
OMEGA]--variance-covariance matrix of autocorrelated errors.
t] tended to be strongly autocorrelated, whereas the coefficient of determination R2 was positive.
The initial estimation results suggested autocorrelated errors within the cross-sections in the fixed effects estimation procedure.
Nonetheless, CFA/SEM analyses may provide an excellent test of Hypothesis 2 because they take into account measurement error, as well as autocorrelated errors which result from repeated measures.
A surplus to GDP with a positive autocorrelation up to 5 lags (7) is considered positive and persistent; otherwise the surplus is considered negatively autocorrelated, indicating low persistence.
In particular, the order flow is autocorrelated if and only if there are informed traders in the market, and the autocorrelation increases with the percentage of informed traders.
Because extractions from a single individual are necessarily autocorrelated we refer to each as a subsample.
In order to explore in more detail the relationship between equity inflows and returns, using formal tests for autocorrelation it if found that inflows are autocorrelated.
2) Comments on an earlier version of this paper suggested that account should he taken of autocorrelated and heteroskedastic residuals.
Measures of [alpha] diversity were spatially autocorrelated in primary forest, and [beta] diversity between samples was distance-dependent in primary forest, but not in selectively-logged forest.