From ProofWiki
Jump to navigation Jump to search


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

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

$\rho_k$ is known as the autocorrelation coefficient of $S$ at $k$.


Part $\text {I}$: Stochastic Models and their Forecasting:
$2$: Autocorrelation Function and Spectrum of Stationary Processes:
$2.1$ Autocorrelation Properties of Stationary Models:
$2.1.2$ Stationary Stochastic Processes: Autocovariance and autocorrelation coefficients