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 ?
In this paper, we, thus present a very simple and elegant method in time domain for computing auto-correlation and cross-correlation of the output process which is usually obtained after processing the input WSS process through the windows.
The period of the near-zone memory effect is of the order of 500 clicks, as is corroborated by the auto-correlation tests in Figs.
The idea that a few equations can have tlie power to replicate means, volatilities, relative volatilities, auto-correlations, and cross-correlations observed in time series of real macroeconomic data is highly appealing and has motivated a significant number of authors since the seminal contributions of Kydland and Prescott (1982) and Long and Plosser (1983).
The spatial relevance testing has proved that 11 prefecture-cities in Jianxi Province have significant auto-correlation in the new urbanization inclusive's development, and there is a significant aggregating phenomenon in terms of the spatial distribution.
Durbin- Watson statistic has been used to analyse the problem of auto-correlation.
The pattern of auto-correlations gk showed damped sine-wave and significant partial auto-correlations [f.
According to authors, the cross auto-correlation puzzle documented by Lo and Mackinlay (1990) is associated with a slow response by some small stocks to good, but not bad, common news.
sequences whereby the out-of-phase auto-correlation function is equal to zero, in a specified zone of phase shift [8].
However, the peak side lobe of wideband chaotic signal auto-correlation curve limits signal-to-noise ratio of correlation optical time domain measurement system based on chaotic laser [10].
Keywords: Auto-correlation Test, Independence Method, Key Schedule, Poker Test, Randomness, Sub-keys.
Contrary to efficient market hypothesis, observations have been made that financial market returns have positive auto-correlation in short term and negative auto-correlation in the long-run (Poterba & Summers, 1988).
Therefore, estimating and removing an auto-correlation coefficient from sample data prior to applying the MK test (a procedure called pre-whitening; PW) effectively removes the influence of this component on the occurrence of type I errors (BLAIN, 2012b; VON STORCH; NAVARRA, 1995; YUE et al.