Autocorrelation measures the degree of similarity between a time series and a lagged version of itself over successive time intervals.
It’s also sometimes referred to as “serial correlation” or “lagged correlation” since it measures the relationship between a variable’s current values and its historical values.
When the autocorrelation in a time series is high, it becomes easy to predict future values by simply referring to past values.
How to Calculate Autocorrelation in R
Suppose we have the following time series in R that shows the value of a certain variable during 15 different time periods:
#define data x <- c(22, 24, 25, 25, 28, 29, 34, 37, 40, 44, 51, 48, 47, 50, 51)
We can calculate the autocorrelation for every lag in the time series by using the acf() function from the tseries library:
library(tseries) #calculate autocorrelations acf(x, pl=FALSE) 0 1 2 3 4 5 6 7 8 9 10 1.000 0.832 0.656 0.491 0.279 0.031 -0.165 -0.304 -0.401 -0.458 -0.450 11 -0.369
The way to interpret the output is as follows:
- The autocorrelation at lag 0 is 1.
- The autocorrelation at lag 1 is 0.832.
- The autocorrelation at lag 2 is 0.656.
- The autocorrelation at lag 3 is 0.491.
And so on.
We can also specify the number of lags to display with the lag argument:
#calculate autocorrelations up to lag=5 acf(x, lag=5, pl=FALSE) Autocorrelations of series 'x', by lag 0 1 2 3 4 5 1.000 0.832 0.656 0.491 0.279 0.031
How to Plot the Autocorrelation Function in R
We can plot the autocorrelation function for a time series in R by simply not using the pl=FALSE argument:
#plot autocorrelation function acf(x)
The x-axis displays the number of lags and the y-axis displays the autocorrelation at that number of lags. By default, the plot starts at lag = 0 and the autocorrelation will always be 1 at lag = 0.
You can also specify a different title for the plot by using the main argument:
#plot autocorrelation function with custom title acf(x, main='Autocorrelation by Lag')
How to Calculate Autocorrelation in Python
How to Calculate Autocorrelation in Excel