Is a Time Series Correlated with its Future Self?


June 12, 2017

Is a Time Series Correlated with its Future Self?

I’ve recently been studying time series analysis and was curious as to whether a time series is correlated with its future self (or past self, as the case may be). This thought came about when studying stock market prediction: the best predictor for the stock market would be a crystal ball that told you the future values.