Autocorrelation

Calculation of an autocorrelation function

Calculation of an autocorrelation function
  1. How do you calculate autocorrelation function?
  2. How do you calculate autocorrelation in regression?

How do you calculate autocorrelation function?

The number of autocorrelations calculated is equal to the effective length of the time series divided by 2, where the effective length of a time series is the number of data points in the series without the pre-data gaps.

How do you calculate autocorrelation in regression?

Testing for Autocorrelation

The most common method of test autocorrelation is the Durbin-Watson test. Without getting too technical, the Durbin-Watson is a statistic that detects autocorrelation from a regression analysis. The Durbin-Watson always produces a test number range from 0 to 4.

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