Autocorrelation probability is the probability of obtaining a certain autocorrelation for a particular data series by chance alone, if the data were completely random. To calculate autocorrelation probability:
Calculate the standard error of autocorrelation:
where
SE(rk) = standard error of autocorrelation at lag k
ri = autocorrelation at lag i
k = the time lag
n = number of observations in the time series
Reference: Hanke et al. Business Forecasting. 7th ed. Prentice Hall, 2001. Chapter 3, pg 59–60
Calculate the t statistic:
Calculate the p-value from the absolute t statistic; the probability is double the area of (1 – CDF(t))