Auto-Correlation

2020 Mathematics Subject Classification: Primary: 60G [MSN][ZBL]

of a stochastic process $X_t$

Correlation of the values of $X_t$ and $X_{t+h}$. The term "auto-correlation" , along with the term "correlation function" , is mostly employed in studies of stationary stochastic processes, in which the auto-correlation depends only on $h$ and not on $t$.

Comments[edit]

I.e. the auto-correlation of the process $X_t$ is the correlation coefficient of $X_t$ and $X_{t+h}$.