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Definition of "autocorrelation" []

  • The cross-correlation of a signal with itself: the correlation between values of a signal in successive time periods. (noun)

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Use "autocorrelation" in a sentence
  • "This would fatten the tails of the return distribution and introduce long term autocorrelation to the return series."
  • "I use the method of Quenouille, which adjusts the effective N by an amount incorporating both the short and long term autocorrelation:"
  • "I used a variety of methods to generate it, from making noise that is slightly pink mostly white noise with a bit of lag 1 correlation to noise that had a long-term autocorrelation structure that was similar to the “Union” reconstruction, mixed with just a bit of white noise."