Concepedia

Sample Autocorrelation

Sample Autocorrelation is a statistical estimator that quantifies the degree of linear dependence between observations of a time series separated by a specific lag, derived from finite empirical data as the sample-level counterpart to the theoretical autocorrelation function.

127

Publications

11.5K

Citations

219

Authors

141

Institutions

Publications per year

2017–2026

11

Variants

Sacf

Parents

Publications

127

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

George E. P. Box, David A. Pierce · Journal of the American Statistical Association · 1970 · 2.2K citations

, , +15

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

George E. P. Box, David A. Pierce · Journal of the American Statistical Association · 1970 · 2K citations

, , +15

Introduction to Time Series and Forecasting.

Peter J. Brockwell, Richard A. Davis · Biometrics · 1998 · 551 citations

, , +17

New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing

Thomas J. Fisher, Colin Gallagher · Journal of the American Statistical Association · 2012 · 434 citations

, , +16

Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process

Thomas Mikosch · The Annals of Statistics · 2000 · 418 citations · Full text

, , +16

1–5 of 127

Authors

219

  1. TM
    Thomas Mikosch

    University of Copenhagen, Denmark

    4 publications · 718 citations

    4

    h-index

  2. DA
    David A. Pierce

    Federal Reserve, United States

    4 publications · 4.3K citations

    4

    h-index

  3. RA
    Richard A. Davis

    Colorado State University, United States

    4 publications · 851 citations

    4

    h-index

  4. GS
    Gennady Samorodnitsky

    Cornell University, United States

    3 publications · 63 citations

    3

    h-index

  5. HH
    Hossein Hassani

    University of Tehran, Iran

    3 publications · 73 citations

    3

    h-index

1–5 of 219

Institutions

141

  1. Columbia University

    New York, United States

    4 h-index

    5 publications

    309 citations

  2. Stanford University

    Stanford, United States

    3 h-index

    3 publications

    279 citations

  3. Cardiff University

    Cardiff, United Kingdom

    3 h-index

    3 publications

    73 citations

  4. Universidad Carlos III de Madrid

    Madrid, Spain

    3 h-index

    4 publications

    80 citations

  5. Colorado State University

    Fort Collins, United States

    3 h-index

    6 publications

    678 citations

  6. University of Missouri

    Columbia, United States

    3 h-index

    3 publications

    4.3K citations

  7. Northern Illinois University

    DeKalb, United States

    2 h-index

    2 publications

    274 citations

  8. Freie Universität Berlin

    Berlin, Germany

    2 h-index

    2 publications

    27 citations

1–8 of 141

Venues

  1. Journal of the American Statistical Association

    14 publications · 5.9K citations

    13

    h-index

  2. Journal of Time Series Analysis

    6 publications · 204 citations

    6

    h-index

  3. Biometrika

    6 publications · 359 citations

    6

    h-index

  4. Journal of Econometrics

    5 publications · 435 citations

    5

    h-index

  5. Econometric Theory

    3 publications · 133 citations

    3

    h-index

1–5