Definition:Autocorrelation Function

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

Let $\rho_k$ denote the autocorrelation coefficient of $S$ at $k$.

The function that maps $k$ to its corresponding $\rho_k$ is referred to as the autocorrelation function.

Also see

 * Definition:Autocovariance Function


 * Definition:Autocorrelation