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
- 1994: George E.P. Box, Gwilym M. Jenkins and Gregory C. Reinsel: Time Series Analysis: Forecasting and Control (3rd ed.) ... (previous) ... (next):
- 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: $(2.1.5)$
- $2.1$ Autocorrelation Properties of Stationary Models:
- $2$: Autocorrelation Function and Spectrum of Stationary Processes:
- Part $\text {I}$: Stochastic Models and their Forecasting: