Definition of Autocovariance. Meaning of Autocovariance. Synonyms of Autocovariance

- 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...
- long-range and short-range dependent stationary process is in terms of their autocovariance functions. For a short-range dependent process, the coupling between...
- 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...
- function Autocovariance function Cross-covariance function For deterministic signals Autocorrelation function Cross-correlation function Autocovariance function...
- standardizing the data and hence use the autocorrelation matrix instead of the autocovariance matrix as a basis for PCA. However, this compresses (or expands) the...