The autocorrelation, or autocorrelation function
, of a random process X
) 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.