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?
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The earliest reference for autocorrelation that I can find relates to Udney 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 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.