# Auto-correlation

From Encyclopedia of Mathematics

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 $t$.

#### Comments

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: 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