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autocorrelation


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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.


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