maths.autocorrelation

Autocorrelation measures the correlation of a signal with a delayed copy of itself. It is widely used in time series analysis, signal processing, and statistics.

Reference: https://en.wikipedia.org/wiki/Autocorrelation

Attributes

data

Functions

autocorrelation(→ float)

Calculate the autocorrelation of a time series at a given lag.

Module Contents

maths.autocorrelation.autocorrelation(data: list[float], lag: int) → float

Calculate the autocorrelation of a time series at a given lag.

Parameters:

  • data – A list of numerical values representing the time series.

  • lag – The number of time steps to shift the series.

Returns:

The autocorrelation coefficient at the given lag.

>>> round(autocorrelation([1, 2, 3, 4, 5], 1), 4)
0.4
>>> round(autocorrelation([1, 2, 3, 4, 5], 0), 4)
1.0
>>> autocorrelation([1, 2, 3], 5)
Traceback (most recent call last):
    ...
ValueError: Lag must be less than the length of the data.
maths.autocorrelation.data = [1, 2, 3, 4, 5, 4, 3, 2, 1]