Skip to main content

Autocorrelation

  • Reference work entry
  • 538 Accesses

Autocorrelation, denoted \( { \rho_k } \), is a measure of the correlation of a particular time series with the same time series delayed by k lags (the distance between the observations that are so correlated). It is obtained by dividing the covariance between two observations, separated by k lags, of a time series (autocovariance) by the standard deviation of y t and y t − k . If the autocorrelation is calculated for all values of k we obtain the autocorrelation function. For a time series that does not change over time, the autocorrelation function decreases exponentially to 0.

HISTORY

The first research into autocorrelation, the partial autocorrelation and the correlogram was performed in the 1920s and 1930s by Yule, George, who developed the theory of autoregressive processes.

MATHEMATICAL ASPECTS

We define the autocorrelation of time series Y t by:

$$ \begin{aligned} \rho_k &= \frac{\text{cov} \left(y_t, y_{t-k}\right)}{\sigma_{y_t} \sigma_{y_{t-k}}}\\ &=...

This is a preview of subscription content, log in via an institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   299.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

REFERENCES

  1. Bourbonnais, R.: Econométrie, manuel et exercices corrigés, 2nd edn. Dunod, Paris (1998)

    Google Scholar 

  2. Box, G.E.P., Jenkins, G.M.: Time Series Analysis: Forecasting and Control (Series in Time Series Analysis). Holden Day, San Francisco (1970)

    MATH  Google Scholar 

  3. Chatfield, C.: The Analysis of Time Series: An Introduction, 4th edn. Chapman & Hall (1989)

    Google Scholar 

Download references

Rights and permissions

Reprints and permissions

Copyright information

© 2008 Springer-Verlag

About this entry

Cite this entry

(2008). Autocorrelation. In: The Concise Encyclopedia of Statistics. Springer, New York, NY. https://doi.org/10.1007/978-0-387-32833-1_17

Download citation

Publish with us

Policies and ethics