From Encyclopedia of Mathematics
Revision as of 18:01, 10 January 2016 by Richard Pinch (talk | contribs) (TeX done)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to: navigation, search

2020 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 $t$.


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