Definition:Autocovariance/Coefficient

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Definition

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

Let $\gamma_k := \cov {z_t, z_{t + k} }$ denote the autocovariance of $S$ at lag $k$.


$\gamma_k$ is known as the autovariance coefficient of $S$ at $k$.


Sources

Part $\text {I}$: Stochastic Models and their Forecasting:
$2$: Autocorrelation Function and Spectrum of Stationary Processes:
$2.1$ Autocorrelation Properties of Stationary Models:
$2.1.2$ Stationary Stochastic Processes: Autocovariance and autocorrelation coefficients: $(2.1.5)$