I'm just very curious about the discovery process behind the autocorrelation function.
- When was it invented?
- Was it independently invented multiple times, for example?
- What was the motivation for it?
The earliest reference for autocorrelation that I can find relates to Udney Yule, http://en.wikipedia.org/wiki/Udny_Yule a British Statistician who among other notable accomplishments developed the Yule-Walker procedure to approximate the Partial Auto-correlation Function using the Auto-correlation Function. Pearson http://en.wikipedia.org/wiki/Karl_Pearson might have been involved. Pearson as a side note was not very good at forecasting ! He predicted that Galton, rather than Charles Darwin, would be remembered as the most prodigious grandson of Erasmus Darwin.