autocorrelation function


: a function that describes the autocorrelation of a quantity being continuously measured and that indicates the periodicity of the quantity
Financial prices tend to be well approximated by the 'random walk'. The random walk never forgets. Every change is permanent. Changes are not reversed. The autocorrelation function of percentage changes (i.e. returns) shows near-zero values for autocorrelations.Ajay Shah, The Financial Express, 8 Feb. 2010

Word History

First Known Use

1933, in the meaning defined above

Time Traveler
The first known use of autocorrelation function was in 1933

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Dictionary Entries Near autocorrelation function

Cite this Entry

“Autocorrelation function.” Dictionary, Merriam-Webster, Accessed 3 Dec. 2023.

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