# Autocorrelation

From AMS Glossary

## autocorrelation

The simple linear correlation of a time series with its own past; that is, the correlation of the sequence of values

*x*(*t*) with the sequence of values*x*(*t*+ τ) occurring τ units of time later.The time displacement τ is called the lag. The autocorrelation function is the autocorrelation for variable lag. The autocorrelation coefficient is the product-moment correlation coefficient that relates the variables

*x*(*t*) and*x*(*t*+ τ).*See*serial correlation.