autocorrelation

This would fatten the tails of the return distribution and introduce long term autocorrelation to the return series.

"Options theory is kind of deep in some way. It was very elegant; it had the quality of physics." Ann Althouse 2009

I use the method of Quenouille, which adjusts the effective N by an amount incorporating both the short and long term autocorrelation:

Dongge Cave « Climate Audit 2007

The real data series presumably show longer term autocorrelation ?

AR1 on First Differences « Climate Audit 2006

I used a variety of methods to generate it, from making noise that is slightly pink mostly white noise with a bit of lag 1 correlation to noise that had a long-term autocorrelation structure that was similar to the “Union” reconstruction, mixed with just a bit of white noise.

Juckes and 99.98% Significance « Climate Audit 2006

Stock values usually have very strong short-term autocorrelation, and we can say that tomorrow's value is todays value plus some error.

I'm just a simple DBA on a complex production system 2009

So we published an article focusing on the statistical anomalies associated with 9/11 in the journal Foundation of Physics Letters.32 One of those anomalies was that the GCP random data showed an extremely unlikely and persistent temporal structure called an autocorrelation, with odds against chance of a million to 1.

ENTANGLED MINDS DEAN RADIN 2006

So we published an article focusing on the statistical anomalies associated with 9/11 in the journal Foundation of Physics Letters.32 One of those anomalies was that the GCP random data showed an extremely unlikely and persistent temporal structure called an autocorrelation, with odds against chance of a million to 1.

ENTANGLED MINDS DEAN RADIN 2006

So we published an article focusing on the statistical anomalies associated with 9/11 in the journal Foundation of Physics Letters.32 One of those anomalies was that the GCP random data showed an extremely unlikely and persistent temporal structure called an autocorrelation, with odds against chance of a million to 1.

ENTANGLED MINDS DEAN RADIN 2006

Is the issue of run order, the same as the idea of autocorrelation?

Spurious Significance #4: Phillips [1986] « Climate Audit 2005

Using a mathematical formula called autocorrelation

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