Category:Autocovariance
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This category contains results about Autocovariance.
Let $S$ be a stochastic process giving rise to a time series $T$.
The autocovariance of $S$ at lag $k$ is defined as:
- $\gamma_k := \cov {z_t, z_{t + k} } = \expect {\paren {z_t - \mu} \paren {z_{t + k} - \mu} }$
where:
- $z_t$ is the observation at time $t$
- $\mu$ is the mean of $S$
- $\expect \cdot$ is the expectation.
Pages in category "Autocovariance"
The following 3 pages are in this category, out of 3 total.