Appendix C. Autocorrelation.
The autocorrelation function is a measure of how well points in a series of data are correlated to other points in the same series, separated by a certain lag. Consider a set of n measurements, x1, x2, ... xn, taken at equal intervals in either time or space. The autocovariance for a lag, r, is
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(C.1)
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where x
is the mean of the data series.
The autocovariance can be expressed as a fraction of the overall variance to give the autocorrelation:
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(C.2)
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