I talked about the usefulness of correlations, specifically in forecasting, previously. There is more to it. This post is about some of that. In time series analysis, we typically would like to know how correlated is a variable with its own past. Hence the name—autocorrelation.
Autocorrelation as a forensic tool in time series analysis
Autocorrelation as a forensic tool in time…
I talked about the usefulness of correlations, specifically in forecasting, previously. There is more to it. This post is about some of that. In time series analysis, we typically would like to know how correlated is a variable with its own past. Hence the name—autocorrelation.