Definition Autocorrelation

If a correlation between two characteristics of the same attribute can be observed over time, this is called autocorrelation.

An example: Unemployment statistics show that in February, 12.00 million people were unemployed. In March, that number fell to 11.72 million before falling further down to 11.66 million in April. These figures are related. A large proportion of the unemployed in March were still out of work in April and May as well. The unemployed individuals in April and May are not a completely different group of unemployed individuals in March. Rather, the fact that the number of unemployed individuals in one month is always related to the number in the previous month is an example of autocorrelation. The opposite of autocorrelation can be demonstrated by the random number in roulette. If the number 4 or the number 17 occur before the 36, neither value has an impact on the subsequent run of the ball. It is not possible to analyze the numbers that fall on a roulette night through a wavy curved graph in the same way as the unemployment statistics. Instead, such data takes the form of a jagged curve whose values fluctuate wildly back and forth between the numbers 0 to 36.

Please note that the definitions in our statistics encyclopedia are simplified explanations of terms. Our goal is to make the definitions accessible for a broad audience; thus it is possible that some definitions do not adhere entirely to scientific standards.