From Encyclopedia of Mathematics - Reading time: 1 min
2020 Mathematics Subject Classification: Primary: 60G [MSN][ZBL]
of a stochastic process
Correlation of the values of and . 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 and not on .
I.e. the auto-correlation of the process is the correlation coefficient of and .