Autocorrelation

Definition

Autocorrelation in plain English

Serially correlated residuals violate standard OLS inference assumptions and require diagnosis or adjusted modeling.

Learn these first

• Bootstrapping (term structure)
• Monte Carlo simulation

Related FRM Part 1 terms

• Bayes' theorem
• Bootstrapping (term structure)
• Central limit theorem
• Copula
• Exponentially weighted moving average (EWMA)
• Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
• Heteroskedasticity
• Monte Carlo simulation
• Ordinary least squares (OLS)
• p-value