autocorrelation

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autocorrelation

[¦ȯd·ō‚kär·ə′lā·shən]
(electronics)
A technique used to detect cyclic activity in a complex signal.
(statistics)
In a time series, the relationship between values of a variable taken at certain times in the series and values of a variable taken at other, usually earlier times.
References in periodicals archive ?
The magnitude of the sample autocorrelation function is shown in Figure 2; the data are significantly autocorrelated ([alpha] = .
The average reproductive success of the pairs of a given cliff was autocorrelated from one year to the next (n = 205, [r.
Schwert [1987, 1989] demonstrates that the presence of large negatively autocorrelated errors biases the unit root tests toward rejection.
In particular, the power of unit root tests is notoriously weak, the tests are biased by the failure to consider structural breaks, heteroscadastic and autocorrelated errors and the correct specification of deterministic regressors.
This plot was not subject to statistical inference because the y and x variables are autocorrelated.
Recall that lagged values of the dependent variables are used to correct the serial correlation precipitated by an autocorrelated dependent variable.
The policy shocks are positively autocorrelated, but the factor loading and the price of risk for the policy shock are of opposite sign.
Thus, other models were also fitted, taking into account a weakly autocorrelated structure on the disturbances.
Since data from GPS telemetry locations tend to be spatially autocorrelated, we used a cluster-correlated form of the Huber-White sandwich estimator to calculate robust standard errors for these estimates (Clark and Stevens, 2008).
1987) "A Simple Positive-Definite Heteroskedasticity and Autocorrelated Covarience Matrix.
The values reported for the autoregressive AR(1) and AR(2) terms are the p-values for the first-order and second-order autocorrelated disturbances.
2007) for autocorrelated data corroborate the data presented by Pinto (2009), who states that these are the best tests for independent data.