January 2019
Intermediate to advanced
294 pages
6h 43m
English
Content preview from Machine Learning Quick Reference
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Autocorrelation
Autocorrelation is a measure of the correlation between the lagged values of a time series. For example, r1 is the autocorrelation between yt and yt-1; similarly, r2 is the autocorrelation between yt and yt-2. This can be summarized in the following formula:
In the preceding formula, T is the length of the time series.
For example, say that we have the correlation coefficients, as shown in the following diagram:
To plot it, we get the following:
The following are some observations from this autocorrelation function plot:
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