Autocovariance
From Encyclopedia of Mathematics
of a stochastic process 
The covariance of 
and 
. If 
denotes the mathematical expectation of a random variable 
, then the autocovariance equals
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The term "autocovariance" is usually applied to stationary (in the wide sense) stochastic processes (cf. Stationary stochastic process). For such processes the autocovariance depends only on 
and differs from the auto-correlation by the presence of a single factor which is equal to the variance of 
. The terms "covariance function" and "autocovariance function" are used together with the term "autocovariance" .
How to Cite This Entry:
Autocovariance. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Autocovariance&oldid=45247
Autocovariance. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Autocovariance&oldid=45247
This article was adapted from an original article by A.V. Prokhorov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article