Autocorrelation

Gist

When errors are correlated over time.

Definition

Time Series

Important for Time Series Analysis

Plots

ACF

The ACF plot shows the correlation between the current value of the series at time t and its past values at various lags. In stationary data, the ACF plot should ideally show a rapid decline in correlation after a few lags.

PCF

The partial autocorrelation function. It's autocorrelation for lag k after removing the effect of the lower lag.