pandas.Series.autocorr

Series.autocorr(lag=1)

Compute the lag-N autocorrelation.

This method computes the Pearson correlation between the Series and its shifted self.

Parameters:

lagint, default 1

Number of lags to apply before performing autocorrelation.

Returns:

float

The Pearson correlation between self and self.shift(lag).

See also

Series.corr

Compute the correlation between two Series.

Series.shift

Shift index by desired number of periods.

DataFrame.corr

Compute pairwise correlation of columns.

DataFrame.corrwith

Compute pairwise correlation between rows or columns of two DataFrame objects.

plotting.autocorrelation_plot

Autocorrelation plot for time series.

Notes

If the Pearson correlation is not well defined return ‘NaN’.

Values can differ from pandas.plotting.autocorrelation_plot(), which uses the mean and variance of the whole Series rather than of the overlapping portions.

Examples

>>> s = pd.Series([0.25, 0.5, 0.2, -0.05])
>>> s.autocorr()
0.10355...
>>> s.autocorr(lag=2)
-1.0

If the Pearson correlation is not well defined, then ‘NaN’ is returned.

>>> s = pd.Series([1, 0, 0, 0])
>>> s.autocorr()
nan