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 ?
Given the failure of the GMM-based calibration to account for the autocorrelation and cross-correlation structure of inflation and marginal cost, I now consider an alternative calibration that exactly matches the first-order autocorrelation of inflation and the contemporaneous cross-correlation of inflation and marginal cost.
The white noise characterizes the complete independence of observation (the lack of autocorrelation of signal), so our null hypothesis states that the autocorrelation coefficients (AC) are equal to zero, alternative hypothesis founds, that at least one AC differs from zero.
Similarly in Honduras and Nicaragua a hurricane caused a devastating effect leading to 2 million people becoming Autocorrelation in economic indicators before and after Natural Disaster homeless and around 10 000 dead.
From the database of generated waveforms [10] a part is selected after analysis of the compliance with the required characteristics in terms of spectral occupancy and autocorrelation and cross-correlation functions.
The ARCH model of Engle (1982) and the generalized ARCH (GARCH) model of Bollerlev (1986) are fitted to data in order to represent the observed autocorrelation structure in daily return and squared return series.
Finally we investigate autocorrelation and power spectrum of the systems with respect to the control parameters.
[R.sub.c](l) only contains the cross-correlation information and [R.sub.a](l) only contains the autocorrelation information.
A stationarity requirement, defined as a constant mean, variance and autocorrelation through time, constrains parameters to a certain range.
normality independence and no autocorrelation. On the basis of these model selection criteria we have found that best model for wheat production forecasting of Pakistan is ARIMA (1 2 2).
Example of pure symmetric random walk volatility series (a), autocorrelation: 0.012 and price distribution (b) with average value: -0.0356, skewness: -0.0092, kurtosis: -0.252 (source: own research)
The violation of the hypothesis of identically distributed random variables is the source of spurious autocorrelations in most climate time series.