From Encyclopedia of Mathematics
Revision as of 17:13, 7 February 2011 by (talk) (Importing text file)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to: navigation, search

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).


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:
This article was adapted from an original article by A.V. Prokhorov (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article