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Dear R list I am trying to understand the auto-correlation concept. Auto-correlation is the self-correlation of random variable X with a certain time lag of say t. The article "http://www.mit.tut.fi/MIT-3010/luentokalvot/lk10-11/MDA_lecture16_11.pdf" (Page no. 9 and 10) gives the methodology as under. Suppose you have a time series observations as say X = c(44,41,46,49,49,50,40,44,49,41) # For autocorrelation with time lag of 1 we define A = c(41,46,49,49,50,40,44,49,41)  # first element of X not considered B = c(44,41,46,49,49...

...n Wed, 24 Aug 2011, Vincy Pyne wrote: > Dear R list > > I am trying to understand the auto-correlation concept. Auto-correlation is the self-correlation of random variable X with a certain time lag of say t. > > The article "http://www.mit.tut.fi/MIT-3010/luentokalvot/lk10-11/MDA_lecture16_11.pdf" (Page no. 9 and 10) gives the methodology as under. But that is not the definitive reference, and no, it doesn't (and what it does give is not the conventional definition in the time series literature). > Suppose you have a time series observations as say > > X = c(44,41,4...