autocorrelation

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autocorrelation

A measure of how closely a signal in a time series resembles a time-delayed image of itself—periodic signals are highly autocorrelated; random signals are not.
References in periodicals archive ?
Finally, we conducted a generalized linear mixed model (GLMM) grouping nearby sampling sites (< 60 m apart), in three groups (low, middle and high elevation), following recommendations provided by the autocorrelation analysis.
ij] is the spatial weight as described above for global autocorrelation.
Said and Harper (2015) studied weak form at Russian stock market over the period for daily index returns over the period from 2003 to 2012 using autocorrelation and Box-Ljung test statistics.
Sufficient relative autocorrelation integral value (normalized autocorrelation) for the detected time shift (period) is a conspicuous parameter, since it incorporates the information about signal regularity and signal to noise level.
With the increasing of the order and the offsets of the local autocorrelation function, the number of extracted features is increasing rapidly.
Pattern of significance (as observed in tables) varies by country, but in general the autocorrelations are consistently significant in high quantiles, while significance at low quantiles is patchy.
Although the original formula is valid under a wide range of hypotheses, the use of the sample autocorrelation instead of the true unknown autocorrelation function introduces a substantial uncertainty on the estimate of the effective sample size.
The third test is based on the sum of squares of the first 24 autocorrelation coefficients.
A stationarity requirement, defined as a constant mean, variance and autocorrelation through time, constrains parameters to a certain range.
Figure 2 shows the estimated autocorrelations for the residual series [e.
Since returns over a short period tend to be immediately followed by returns over a long period, there is also a tendency towards negative autocorrelation in returns, as well as negative ARCH effects.
This study investigates the autocorrelation in economic indicators of Pakistan before and after Natural disaster in the light of variables which includes GDP (deflator) Inflation (CPI) Money supply (M2) Remittances and Net export (X-M).