Definition:Autocovariance Function

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

Let $\gamma_k$ denote the autocovariance coefficient of $S$ at $k$.

The function that maps $k$ to its corresponding $\gamma_k$ is referred to as the autocovariance function.

Also see

 * Definition:Autocorrelation Function


 * Definition:Autocovariance