# 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=15589

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