Definition of Autocovariance. Meaning of Autocovariance. Synonyms of Autocovariance

Here you will find one or more explanations in English for the word Autocovariance. Also in the bottom left of the page several parts of wikipedia pages related to the word Autocovariance and, of course, Autocovariance synonyms and on the right images related to the word Autocovariance.

Definition of Autocovariance

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Meaning of Autocovariance from wikipedia

- process, the autocovariance is a function that gives the covariance of the process with itself at pairs of time points. Autocovariance is closely related...
- are equivalent. In some fields, the term is used interchangeably with autocovariance. Various time series models incorporate autocorrelation, such as Unit...
- variable as X, the above expressions are called the autocovariance and autocorrelation: autocovariance σ X X ( m ) = E [ ( X n − μ X ) ( X n + m − μ X )...
- WSS random processes only require that 1st moment (i.e. the mean) and autocovariance do not vary with respect to time and that the 2nd moment is finite for...
- in time. If instead the series has a trend (but a constant variance/autocovariance), the trend is removed by "differencing", leaving a stationary series...
- that the quantity above is a stable fixed point of this relation. The autocovariance is given by B n = E ⁡ ( X t + n X t ) − μ 2 = σ ε 2 1 − φ 2 φ | n |...
- a covariance-stationary series (i.e., a time series whose mean and autocovariance remain constant over time). The order of integration is a key concept...
- long-range and short-range dependent stationary process is in terms of their autocovariance functions. For a short-range dependent process, the coupling between...
- function Autocovariance function Cross-covariance function For deterministic signals Autocorrelation function Cross-correlation function Autocovariance function...
- signals are strongly related by nonlinear dynamics. Autocorrelation Autocovariance Coherence Convolution Correlation Correlation function Cross-correlation...