An extended sample autocorrelation function based on these consistent estimates is then defined and used for order determination. One of the advantages of this new approach is that it eliminates the ...

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

In this article we consider the large-sample behavior of estimates of autocorrelations and autoregressive moving average (ARMA) coefficients, as well as their distributions, under weak conditions.

Neglecting the temporal correlations replaces the original, temporally structured spike autocorrelation function with that of a Poisson spike train.

Autocorrelation can be used for analyzing many types of data. In investments, autocorrelation is part of the technical analysis toolkit used to assess the predictability of asset returns.