Auto Correlation is defined as the correlation between two adjacent data series of one single time series. High values of the Auto Correlation Coefficient will indicate a high degree of secular or sequential trends whereas cross-correlation which is the same for two different time series indicates the impact of one time series on another.
Both of this is important and is one of the prerequisites of developing a numerical model.
Below is an introductory presentation of the data analysis techniques which can be watched online or downloaded free.
Auto Correlation and Cross Correlation by Mrinmoy Majumder
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