autocovariance function

Let {XttT} be a stochastic processMathworldPlanetmath such that Var[Xt]< tT. The autocovariance function of {Xt} is

γX(r,s) := Cov(Xr,Xs)
= E[(Xr-E[Xr])(Xs-E[Xs])]    r,sT.
Title autocovariance function
Canonical name AutocovarianceFunction
Date of creation 2013-03-22 15:10:08
Last modified on 2013-03-22 15:10:08
Owner CWoo (3771)
Last modified by CWoo (3771)
Numerical id 10
Author CWoo (3771)
Entry type Definition
Classification msc 60G10
Synonym covariance kernel