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Topic: Serial correlation

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Autocorrelation

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	LSC2
		Behavior of measured correlation sums and densities in texts randomized by permuting letters of a meaningful text.
		In the first part (see http://members.cox.net/marperak/Texts/Serialcor1.htm) the calculation of the expected correlation sums and expected correlation densities as well as the measurements of the actual correlation sums and densities were described in detail.
		Even though all types of order present in the text must be interconnected, and overlap each other, still the destruction of the serial correlation is not necessarily accompanied by equal destruction of other types of orders, which may be weakened but still preserved to some extent, different from that of the serial correlation.
	members.cox.net /marperak/Texts/Serialcor2.htm (4665 words)

	Testing the assumptions of linear regression
		Violations of independence are also very serious in time series regression models: serial correlation in the residuals means that there is room for improvement in the model, and extreme serial correlation is often a symptom of a badly mis-specified model, as we saw in the auto sales example.
		Serial correlation is also sometimes a byproduct of a violation of the linearity assumption--as in the case of a simple (i.e., straight) trend line fitted to data which are growing exponentially over time.
		Pay especially close attention to significant correlations at the first couple of lags and in the vicinity of the seasonal period, because these are probably not due to mere chance and are also fixable.
	www.duke.edu /~rnau/testing.htm (1536 words)

	Patent 5629956: Method and apparatus for reception and noncoherent serial correlation of a continuous phase modulated ...
		When the entire correlation sequence appears in the received signal s(t), the sum of the I correlation* signal 408 and the Q correlation signal 410 is at a maximum, and may be compared against a predetermined threshold to allow recognition of the chip sequence.
		The coherent serial CPM correlator 902 of FIG.
		Conceptually, the non-coherent serial CPM correlator of FIG.
	www.freepatentsonline.com /5629956.html (15598 words)

	Correlation
		If the correlation is exactly -1, there is a perfect, negative linear association between the two variables; the scatterplot of the two variables fall along one line with negative slope.
		Correlations are only associated with observed instances of events; further conclusions cannot be inferred from correlations.
		Correlation between the persistence forecast and the verifying observation is called the correlation skill score.
	ingrid.ldgo.columbia.edu /dochelp/StatTutorial/Correlation (2507 words)

	Correlation
		The correlations will change due to a myriad of factors, but their relative position over a period of 20 years may be used as a reasonable guide for the immediate future.
		Serial correlations measure the degree to which the return in one year correlates to the return in the next years.
		The Dangers of Using Correlation to measure Dependence (2006) Correlation is without doubt the single most important parameter in modern portfolio theory, where it is used to measure the dependence between the returns on different assets or asset classes.
	www.efmoody.com /investments/correlation.html (5954 words)

	Active Risk: Compensating for Serial Correlation
		For example, when serial correlation is zero, we expect the standard deviation of 12-month active returns to be 3.46 times the monthly standard deviation.
		If the serial correlation is 0.4, we expect the 12-month number to be 5.08 times the monthly number.
		There is one caveat: if the managers have different serial correlations, their numbers will have different biases associated with them (although the magnitude will tend to be small).
	www.ssga.com /library/esps/angelolobocsoactiverisk/page.html (1277 words)

	Serial correlation
		This persistence is known as serial correlation and leads to increased spectral power at lower frequencies (redness).
		The correlogram for the Darwin series is shown in Fig.
		The lag-1 coefficient is often (but not always) adequate for giving a rough indication of the amount of serial correlation in a series.
	www.gfi.uib.no /~nilsg/kurs/notes/node108.html (228 words)

	Correlation: Pitfalls and Alternatives
		Correlation lies at the heart of the capital asset pricing model (CAPM) and the arbitrage pricing theory (APT), where its use as a measure of dependence between financial instruments is essentially founded on an assumption of multivariate normally distributed returns.
		Increasingly, however, correlation is being used as a dependence measure in general risk management, often in areas where the assumption of multivariate normal risks is completely untenable - such as credit risk.
		The recognition that correlation is often an satisfactory measure of dependence in financial risk management is not in itself new.
	www.defaultrisk.com /pp_corr_08.htm (478 words)

	CFA Exam Discussion at AnalystForum for Chartered Financial Analyst candidates :: Level II Forum :: Standard Error
		There is serial correlation among the residuals from the true unknown regression line you are trying to estimate.
		Because of the serial correlation most of the first five residuals are positive (i.e., the points are above the true regression line) and most of the second five are negative.
		Serial correlation has to do with the correlation between the error terms from the regression.
	www.analystforum.com /phorums/read.php?12,355594 (547 words)

	serial correlation and Stock Trading at TradeStars + Stock Trading (Site not responding. Last check: 2007-10-21)
		Such outbursts should be taken with a pinch of a U.S. Senate serial correlation subcommittee, former SEC Chairman Arthur Levitt testified that, I am concerned that some stock traders dont fully understand the serial correlation level of risk they are assuming.
		The rule requires brokerage firms to tell a customer about the risks of serial correlation before an account is quiz to help you decide if you are gambling in our markets and where to go for help, while serial correlation stock 2361.
		Day-Trading Risk Disclosure Statement serial correlation (a) Except as provided in paragraph (b), no member that is promoting a in losses beyond your initial investment.When you day trade with funds borrowed from a serial correlation firm or someone else, are for less than that amount.
	www.tradestars.com /content/serial-correlation.asp (203 words)

	Hedge Fund Consistency Index, Hedge Funds Research
		When compared with the average asset correlations proposed by the Basel Committee on Banking Supervision in November 2001, the empirical average asset correlations further suggest that accounting for firm asset size, especially for larger firms, may be important.
		For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods.
		We find that the correlations between the U.S. and other world markets are on average 2 to 3.5 times higher when the U.S. market is in a high variance state as compared to a low variance regime.
	www.hedgefund-index.com /s_correlation.asp (2261 words)

	correlation - The Financial Reference (Site not responding. Last check: 2007-10-21)
		The value of the Pearson product-moment correlation coefficient is adjusted with the Spearman-Brown prediction formula to correspond to the correlation between two full-length tests.
		The degree of correlation between the initial raw score and the final factor score is called a factor loading.
		Because the degree of the protection is related to the correlation of A and C's stock, it is extremely unlikely that the protection is perfect.
	www.thefinancialreference.com /correlation.html (1285 words)

	[No title] (Site not responding. Last check: 2007-10-21)
		As a rule, the correlogram analysis has been preceded by a smoothing process for the removal of trend (either by curve fitting or moving averages), and the serial correlations are estimated from the residuals.
		In the first place, the serial correlation coefficient is the ratio of the serial covariance to the variance of the series.
		J When these quantities are estimated from the data they are themselves subject to sampling error, and so the expectation of their ratio is not in general equal to the parent serial correlation.
	www.nature.com /nature/journal/v172/n4382/ris/172778a0refs.ris (559 words)

	Serial correlation in water quality variables: Estimation and implications for trend analysis
		One approach to analyzing such data is to estimate the magnitude of the serial correlation and then use the degree of serial correlation to adjust the variance and make valid inferences.
		In case studies of water quality time series, the nonparametric rank von Neumann's ratio test of randomness is used to test for the presence of serial correlation, and R-estimation is used to estimate the severity of the serial correlation.
		Case study results demonstrate that serial correlation is common in monthly water quality data and does not disappear when bimonthly intervals are used.
	www.agu.org /pubs/crossref/2002/2001WR001065.shtml (274 words)

	Correlation: Auto- of Serial Correlation (Site not responding. Last check: 2007-10-21)
		Correlation is the measure of the linear statistical relationship between two random variables.
		The correlation can describe the linear relationship between (1) two different variables at the same locations, (2) the same or two different variables lagged in time, or (3) the same or two different variables separated in space, or (4) the same or two different variable lagged in time and separated in space.
		It is the correlation between members of a time series of observations, and the same values at a fixed time interval later (lag).
	www.nws.noaa.gov /om/csd/pds/pcu2/res/students/Stats/part2/Corr_Auto.htm (174 words)

	Financial Management (Financial Management Association): New Evidence on Serial Correlation in Analyst Forecast Errors ...
		Our results indicate that forecast errors exhibit positive serial correlation when there is bad news in the prior forecast error, negative serial correlation when there is good news in the prior forecast error, and no serial correlation when there is no news in the prior forecast error.
		The evidence of serial correlation consists of pooled cross-sectional, time-series regressions of the forecast error from one period on the forecast error from a prior period.
		We require seven consecutive years of data because we investigate the level of serial correlation at lags of one, two, and three years, and for each of these lags we estimate normal forecast error using the mean error over the previous three years.
	www.findarticles.com /cf_dls/m4130/4_28/59331454/p1/article.jhtml (1328 words)

	EconPapers: Testing for Serial Correlation, Spatial Autocorrelation and Random Effects (Site not responding. Last check: 2007-10-21)
		The first is the LM tests for the spatial error correlation model discussed in Anselin and Bera (1998) and in the panel data context by Baltagi, Song and Koh (2003).
		The second is the LM tests for the error component panel data model with serial correlation derived by Baltagi and Li (1995).
		Series data maintained by Christopher F. Baum ().
	econpapers.repec.org /paper/ecmausm04/338.htm (392 words)

	Dan Cipriano York Saxophone Serial Numbers
		In addition, an estimation of monthly output in the early part of the century and a correlation of serial numbers with patent dates which appear on certain York instruments has been taken into account.
		For example, an instrument with the serial number 28000 could have been made between the years 1904 and 1910, depending on the actual rate of production.
		It is believed that the yearly production rate of 2750 instruments comes the closest to meeting all the criteria used to establish this table, but variations in yearly production are not known, so the range of dates is probably the safest way to "guesstimate" the date of manufacture.
	www.dancipsax.com /iserialyorksax.html (167 words)

	LSC2 (Site not responding. Last check: 2007-10-21)
		Behavior of measured correlation sums and densities in texts randomized by permuting letters of a meaningful text.
		In the first part (see www.nctimes.net/~mark/Texts/Serilacor1.htm) the calculation of the expected correlation sums and expected correlation densities as well as the measurements of the actual correlation sums and densities were described in detail.
		Even though all types of order present in the text must be interconnected, and overlap each other, still the destruction of the serial correlation is not necessarily accompanied by equal destruction of other types of orders, which may be weakened but still preserved to some extent, different from that of the serial correlation.
	www.nctimes.net /~mark/Texts/Serialcor2.htm (4665 words)

	[No title] (Site not responding. Last check: 2007-10-21)
		I present a simple supervised induction algorithm that uses serial correlation as its inductive bias in a Bayesian framework, and compare it empirically to a popular general-purpose classifier, in a NASA telemetry monitoring application.
		Two comparisons were performed: one in which the general purpose classifier was applied directly to the data, and another in which features that captured serial correlations were extracted before the induction.
		Serial correlation appeared to be an important form of inductive bias, most effectively utilized as an integral part of the learning algorithm.
	www.vuse.vanderbilt.edu /~dfisher/tech-reports/ltcsd.html (187 words)

	ABSTRACT: Applicability of prewhitening to eliminate the influence of serial correlation on the Mann-Kendall test. (Site not responding. Last check: 2007-10-21)
		Simulation results demonstrate that when trend exists in a time series, the effect of positive/negative serial correlation on the MK test is dependent upon sample size, magnitude of serial correlation, and magnitude of trend.
		When sample size and magnitude of trend are large enough, serial correlation no longer significantly affects the MK test statistics.
		Therefore, prewhitening is not suitable for eliminating the effect of serial correlation on the MK test when trend exists within a time series.
	cgrg.geog.uvic.ca /abstracts/YueApplicabilityPrewhitening.html (239 words)

	PT> Serial Correlation in Short period Returns
		While there may be statistical significance associated with these correlations, it is unlikely that there is enough correlation to generate excess returns.
		The serial correlation in short period returns is also affected by price measurement issues and the market micro-structure characteristics.
		This strategy is based upon the assumption that price changes are serially correlated and that there is price momentum, i.e., stocks which have gone up strongly in the past are more likely to keep going up than go down.
	www.performancetrading.it /Documents/AdCharting/AdC_Serial-Correlation.htm (400 words)

	Astrology Software for Research
		The fundamental astrological premise that there is a correlation between astrological patterns and behavior patterns is a statistical statement.
		One of the aims of the Astrological Association is to enlarge and integrate the knowledge of astrology.
		Correlation – Journal of Research into Astrology, accepts articles reporting empirical research into astrology, and those discussing methodological, conceptual and philosophical issues related to astrology.
	www.astrodatabank.com /Astrology_Research.htm (1908 words)

	Analysis of U.S. Equity Returns (Site not responding. Last check: 2007-10-21)
		More trading days have positive skewness for the two simple return series, while the number of positive skewness and that of negative skewness are roughly even for the two continuous return series.
		Among the stocks where the null hypothesis of no serial correlation can be rejected at either 5% or 1% level, the distributions of autocorrelation coefficients are not much different from the overall sample.
		For the simple/continuous return series based on the average of high and low, the percentages with consistent conclusions are 90% and 85% at the 5% and 1%, respectively.
	mywebpages.comcast.net /ylding/returns/html/node6.html (4003 words)

	FAJ: Article Abstract (Site not responding. Last check: 2007-10-21)
		By using detailed historical data, I found a stronger serial correlation among the herd-to-consensus analysts (that is, the group with a small average distance between their forecasts and the consensus forecast) than among other analysts.
		Moreover, average distance to consensus itself has a positive serial correlation, and it may be attributed to an analyst's personality (optimistic or pessimistic).
		I found strong positive serial correlation in the average distance to consensus among the herd-to-consensus analysts.
	www.aimrpubs.org /faj/issues/v58n4/abs/f0580028a.html (185 words)

	GRB - "A Non-Parametric Spectral Test of Serial Correlation"
		Parametric tests of serial correlation require specification of a maximum lag length L, and in some manner combine serial correlation coefficients of equal or lesser order than this maximum horizon.
		If L is chosen to be too high, test power against a range of alternate hypotheses may be lost because of the inclusion of insignificant correlations while if it is chosen too low, the longer range features of some alternates may be missed.
		The performance of the spectral test is comparable to or better than the time series test LB(L) when L is chosen with the advance knowledge that it exceeds the maximum lag structure in the alternate and is vastly superior to the LB(L) test when L does not encompass the maximum lag length.
	www.globalresearchbusiness.com /paperdis.php?pid=3588 (252 words)

	Serial Correlation Exercises
		Therefore, the serial correlation test is meaningless.Cross-section data can always be rearranged to get different values for the DW statistic.
		Therefore, we are not justified in feeling that the fit is excellent and the regression coefficients extremely significant.
		Serial correlation renders hypothesis tests invalid and generally results in goodness-of-fit statistics which exagerate the true value.
	www.ucs.mun.ca /~noelroy/4551/Ch9Exercises.html (244 words)

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