The sample autocorrelation at lag 
of observations 
, ..., 
from a time series is
 |
where 
is the sample mean. It estimates the autocorrelation
between observations separated by 
time steps.
Sample Autocorrelation
See also
Autocorrelation, Box-Pierce Test, Portmanteau Test, Time Series AnalysisExplore with Wolfram|Alpha
References
Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.Cite this as:
Weisstein, Eric W. "Sample Autocorrelation." From MathWorld--A Wolfram Resource. https://mathworld.wolfram.com/SampleAutocorrelation.html