Autocorrélation

Définition

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Français

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Anglais

serial correlation

“As prices vary from day to day, you might expect to see patterns. If the price is high on Monday, you might expect it to be high for a few more days; and if it’s low, you might expect it to stay low. A pattern like this is called serial correlation, because each value is correlated with the next one in the series. To compute serial correlation, we can shift the time series by an interval called a lag, and then compute the correlation of the shifted series with the original... 'Autocorrelation' is another name for serial correlation, used more often when the lag is not 1.”[downey] See also correlation

Source : Datascience glossary