Auto-correlation
From Encyclopedia of Mathematics
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 
(cf. Stationary stochastic process).
Comments
I.e. the auto-correlation of the process 
is the correlation coefficient of 
and 
.
How to Cite This Entry:
Auto-correlation. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Auto-correlation&oldid=37455
Auto-correlation. Encyclopedia of Mathematics. URL: http://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