autocorrelation

created by vireo
(thing) by vireo (4.2 y) (print)   (I like it!) Thu Mar 01 2001 at 21:44:04
The autocorrelation, or autocorrelation function, of a random process X(t) is given by:

RX(t1,t2) = E X(t1) X(t2)

The autocorrelation is related to the autocovariance CX(t1,t2) of the process by:

CX(t1,t2) = RX(t1,t2) - EX(t1)EX(t2)

The autocorrelation of a stationary process is a function of the delay t1-t2 only and is maximum at t1-t2 = 0.

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