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 ?
In addition, we explore whether the spatial autocorrelation (Koenig and Knops, 1998; Overmars et al.
The global Moran's I index was used to estimate the strength of the global spatial autocorrelation of average leprosy case detection rate in this study.
The autocorrelations and Ljung Box Q-statistics are further provides the randomness of the return series.
Single signal autocorrelation function is obtained by multiplying a signal with its own image shifted in time.
Higher Order Local Autocorrelation Coefficient (HLAC) [12] is proposed by professor Otsu from Tokyo University at IAPR in 1988.
1] who investigate the relationship between the autocorrelations of daily stock index returns and stock market trading volume.
This has been identifying that the process of solar flare duration is autoregressive because its autocorrelation coefficient (of original series) decline to zero exponentially and its partial autocorrelation drop after lag 1 and has no exponential behavior suggesting that an MA model would be inappropriate [12, 13].
An estimate for this effective sample size is commonly derived from a widely used formula based on the autocorrelation function, but where the sample autocorrelation function is applied instead of the true unknown autocorrelation function of the time series, although a few studies highlighted the volatility of this approach.
In ARIMA modeling the order of AR(p) is identified by partial autocorrelation function (PACF) while the order of MA(q) is identified by autocorrelation function (ACF) (Tsay 2002).
Changes in level or autocorrelations that decline slowly at longer lags require first-order differencing, whereas slope changes require second-order differencing.
Figure 1 shows the estimated autocorrelations for the series [R.
For example, a study of return autocorrelations using trade-to-trade returns uses trade time, and the time intervals between trades are treated as equivalent, even if one interval is 10 seconds and another is 10 minutes.