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Auto-correlation

From Encyclopedia of Mathematics - Reading time: 1 min

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

of a stochastic process Xt

Correlation of the values of Xt and Xt+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 Xt is the correlation coefficient of Xt and Xt+h.


How to Cite This Entry: Auto-correlation (Encyclopedia of Mathematics) | Licensed under CC BY-SA 3.0. Source: https://encyclopediaofmath.org/wiki/Auto-correlation
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