Go to autocorrelation for the background and detail but this autocorrelation for lags of more than one measurement interval with the correlations of the smaller lags partialled out.
Details #
What does that mean?! Well you will have to read that other entry and perhaps the Rblog post about that too (see below). It matters as it gives us some insight into the “memory” of time series processes with most simple being Markovian processes where all partial autocorrelations for lags 2 upwards are all zero (or not statistically significant).
Try also #
- Autocorrelation
- Correlation
- Cross-lagged correlation analysis
- Independence of observations
- Markov/Markovian processes
- Partial correlation
Chapters #
Not covered in the OMbook.
Online resources #
- Rblog post:
Dates #
First created 27.i.25.
