AI engineering glossary · Time series recsys
What is autocorrelation?
Autocorrelation (also called Serial correlation): The correlation of a series with a delayed copy of itself. At lag k it measures how strongly values k steps apart move together. Strong autocorrelation means the past helps predict the future, and it also breaks the independence assumption of ordinary regression.
Autocorrelation: an example
Daily temperatures have lag-1 autocorrelation of about 0.9: today's temperature is a good guide to tomorrow's.
Related terms
More Time series recsys terms
- Autocorrelation function
- Backtesting
- Bayesian personalised ranking
- Box-Jenkins method
- Calendar features
- Candidate generation
- Changepoint
- Click-through rate
Where you learn it
Autocorrelation is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.