Definition:Autocovariance Matrix

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Definition

Let $S$ be a strictly stationary stochastic process giving rise to a time series $T$.

Let $\sequence {s_n}$ be a sequence of $n$ successive values of $T$:

$\sequence {s_n} = \tuple {z_1, z_2, \dotsb, z_n}$


The autocovariance matrix associated with $S$ for $\sequence {s_n}$ is:

$\boldsymbol \Gamma_n = \begin {pmatrix} \gamma_0 & \gamma_1 & \gamma_2 & \cdots & \gamma_{n - 1} \\ \gamma_1 & \gamma_0 & \gamma_1 & \cdots & \gamma_{n - 2} \\ \gamma_2 & \gamma_1 & \gamma_0 & \cdots & \gamma_{n - 3} \\ \vdots & \vdots & \vdots & \ddots & \vdots \\ \gamma_{n - 1} & \gamma_{n - 2} & \gamma_{n - 3} & \cdots & \gamma_0 \end {pmatrix}$

where $\gamma_k$ is the autocovariance of $S$ at lag $k$.


That is, such that:

$\sqbrk {\Gamma_n}_{i j} = \gamma_{\size {i - j} }$


Also see

  • Results about autocovariance matrices can be found here.


Sources

Part $\text {I}$: Stochastic Models and their Forecasting:
$2$: Autocorrelation Function and Spectrum of Stationary Processes:
$2.1$ Autocorrelation Properties of Stationary Models:
$2.1.3$ Positive Definiteness and the Autocovariance Matrix