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Auto-correlation

From Encyclopedia of Mathematics
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2010 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

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

How to Cite This Entry:
Auto-correlation. Encyclopedia of Mathematics. URL: http://www.encyclopediaofmath.org/index.php?title=Auto-correlation&oldid=37455
This article was adapted from an original article by A.V. Prokhorov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article