The Durbin Watson statistic is a number that tests for autocorrelation in the residuals from a statistical regression analysis.

Autocorrelation, a statistical measure that evaluates the relationship between a variable’s past and present values, can provide insights into patterns and guide investment decisions. By analyzing how ...

A simple approach to understanding the behaviour of the partial autocorrelation function of seasonal time series is presented, based on a partial autocorrelation pattern. This pattern, which acts as a ...

The sample inverse autocorrelation function (SIACF) plays much the same role in ARIMA modeling as the sample partial autocorrelation function (SPACF) but generally indicates subset and seasonal ...

Flexible stationary diffusion-type models are developed that can fit both the marginal distribution and the correlation structure found in many time series from, for example, finance and turbulence.

In the preceding section, it is assumed that the order of the autoregressive process is known. In practice, you need to test for the presence of autocorrelation. The AUTOREG procedure output is shown ...