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 ?
In order to assess the spatial autocorrelation in the elevational gradient of the El Triunfo, we generated spatial correlograms for alpha diversity and elevation using Moran's I coefficients at 8 elevational classes (SAAP 4.
The local spatial autocorrelation (LISA) developed by Luc Anselin (15) has become the standard tool to examine local spatial autocorrelation.
For daily and weekly returns, the significant value of autocorrelations (Q-statistic) gives another proof regarding the rejection of random walk as the p-value is less than 0.
Autocorrelation also has distinct advantage over other methods if the fundamental frequency is masked by its harmonics.
They argue that these variables are related theoretically to the potential causes of autocorrelations in returns, such as nontrading, bid-ask spread, and partial price adjustment effects.
Our method, which involves a two-tiered estimation of the autocorrelation function to refine its estimate, decreases the root mean square error (RMSE) of the estimated effective sample size by as much as a factor of 3-4 compared to the original formula for AR1 time series with large persistence (i.
Model which has minimum SBIC value specified well as other fitted models (Tsay 2005) Time Series Model Diagnostics: The time series model assumption includes independence normality autocorrelation etc of residuals of the best fitted models.
The seasonal component can be examined via autocorrelation correlograms, which display serial correlation for consecutive lags.
This inconsistency can be explained by the fact that a linear AR(1) transformation can eliminate the long autocorrelations in the absolute and squared return series.
positive or negative autocorrelation in returns and the volatility of returns, higher or lower cross-correlations in returns and the volatility of returns, higher or lower returns variances, the introduction of non-normality, ieptokurtosis, etc.
The findings of this paper as shown in table 1 reveal that all of the major economical players of Pakistan which include GDP deflator CPI Net export Remittances and Money supply (M2) have significant autocorrelations for all first 10 lags (periods) which implies that all of the stated players do follow the certain upward trend with consistency for the period of before natural disasters.