This autocorrelation of the residuals may not be a very good estimate of the autocorrelation of the true errors, especially if there are few observations and the independent variables have certain ...

The plot below shows the autocorrelation (ACF) and partial autocorrelation (PACF) functions of VXX returns. It’s interesting to note that VXX returns are positively auto-correlated at 3-day lag.

A simple approach to understanding the behaviour of the partial autocorrelation function of seasonal time series is presented, based on a partial autocorrelation pattern. This pattern, which acts as a ...

Using Autocorrelation to Evaluate Investments Autocorrelation can serve as a valuable tool for evaluating the behavior of investment returns over time.

What Is Autocorrelation? Autocorrelation measures the degree to which a variable’s current value is influenced by its past values over time. It evaluates the persistence of patterns by comparing ...

This technical note discusses time-series data. The note explains the concept of a time trend and how to capture the trend using regression. Most of the note is devoted to the problem of ...

Autocorrelation: The correlation of a time series with its own past and future values, which is a key consideration in modelling and inference in ITS studies.

This paper presents a generalization of the concept of vector correlation proposed by Escoufier (1973) to the context of time series. For two jointly stationary multivariate stochastic processes { Xt} ...