Auto-correlation

This category corresponds roughly to MSC {{{id}}} {{{title}}}; see {{{id}}} at MathSciNet and {{{id}}} at zbMATH.

of a stochastic process $X_t$

Correlation of the values of $X_t$ and $X_{t+h}$. The term "auto-correlation" , along with the term "correlation function" , is mostly employed in studies of stationary stochastic processes, in which the auto-correlation depends only on $h$ and not on $t$.

Comments

I.e. the auto-correlation of the process $X_t$ is the correlation coefficient of $X_t$ and $X_{t+h}$.