Definition

Autocorrelation is a concern when looking for patterns in time-ordered data, such as
residuals, X and MR charts and EWMA charts. If autocorrelation exists, it implies that
variations in values over time are not random, that is, if the n^{th} value in the sample is high, the (n-1)^{th} value is also likely to be high, etc. In the analysis of a time-ordered chart of Residuals, this implies that the
assumption of independence has been violated. Positive autocorrelation exists if the
residuals do not change signs as frequently as expected. Negative autocorrelation exists if
the Residuals change signs more frequently than expected.

Notes

Source: Breyfogle III, Forrest W.(2003). Implementing Six Sigma: Smarter Solutions Using Statistical Methods, 2nd ed., John Wiley & Sons, New York.

External Links

NIST Statistics Handbook: Autocorrelation - http://www.itl.nist.gov/div898/handbook/eda/section3/eda35c.htm