Show Summary Details

Quick Reference

If {xi} is an ordered sequence of observations then the product moment correlation coefficient between pairs (xi, xi+1) is the autocorrelation of lag 1, and between pairs (xi, xi+k) is the autocorrelation of lag k. The values of k for which the autocorrelation is not negligible can provide important information as to the underlying structure of a time series.

Subjects: Probability and Statistics.

Reference entries

See all related reference entries in Oxford Index »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.