Definition:Autocovariance Function

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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

  • Results about autocovariance can be found here.


Part $\text {I}$: Stochastic Models and their Forecasting:
$2$: Autocorrelation Function and Spectrum of Stationary Processes:
$2.1$ Autocorrelation Properties of Stationary Models:
$2.1.4$ Autocovariance and Autocorrelation Functions