Definition:Autocorrelation/Coefficient
< Definition:Autocorrelation(Redirected from Definition:Autocorrelation Coefficient)
Jump to navigation
Jump to search
Definition
Let $S$ be a stochastic process giving rise to a time series $T$.
Let $\rho_k$ denote the autocorrelation of $S$ at lag $k$.
$\rho_k$ is known as the autocorrelation coefficient of $S$ at $k$.
Sources
- 1994: George E.P. Box, Gwilym M. Jenkins and Gregory C. Reinsel: Time Series Analysis: Forecasting and Control (3rd ed.) ... (previous) ... (next):
- Part $\text {I}$: Stochastic Models and their Forecasting:
- $2$: Autocorrelation Function and Spectrum of Stationary Processes:
- $2.1$ Autocorrelation Properties of Stationary Models:
- $2.1.2$ Stationary Stochastic Processes: Autocovariance and autocorrelation coefficients
- $2.1$ Autocorrelation Properties of Stationary Models:
- $2$: Autocorrelation Function and Spectrum of Stationary Processes:
- Part $\text {I}$: Stochastic Models and their Forecasting: