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In [[statistics]], given a real [[stochastic process]] ''X''(''t''), the '''autocovariance''' is the [[covariance]] of the variable against a time-shifted version of itself.  If the process has the [[mean]] <math>E[X_t] = \mu_t</math>, then the autocovariance is given by
 
:<math>C_{XX}(t,s) = E[(X_t - \mu_t)(X_s - \mu_s)] = E[X_t X_s] - \mu_t \mu_s.\,</math>
 
where ''E'' is the [[expected value|expectation]] operator.
 
Autocovariance is related to the more commonly used [[autocorrelation]] by the [[variance]] of the variable in question.
 
== Stationarity ==
 
If ''X''(''t'') is [[stationary process]], then the following are true:
 
:<math>\mu_t = \mu_s = \mu \,</math> for all ''t'', ''s''
 
and
 
:<math>C_{XX}(t,s) = C_{XX}(s-t) = C_{XX}(\tau)\,</math>
 
where
 
:<math>\tau = s - t\,</math>
 
is the lag time, or the amount of time by which the signal has been shifted.  
 
As a result, the autocovariance becomes
 
:<math>C_{XX}(\tau) = E[(X(t) - \mu)(X(t+\tau) - \mu)]\,</math>
 
::::<math> = E[X(t) X(t+\tau)] - \mu^2\,</math>
 
::::<math> = R_{XX}(\tau) - \mu^2,\,</math>
 
== Normalization ==
 
When normalized by dividing by the [[variance]] &sigma;<sup>2</sup>, the autocovariance ''C'' becomes the [[autocorrelation]] ''coefficient'' function ''c'',<ref name="nonlinSystems">{{cite book|last=Westwick|first=David T.|title=Identification of Nonlinear Physiological Systems|year=2003|publisher=IEEE Press|isbn=0-471-27456-9|pages=17–18}}</ref>
 
:<math>c_{XX}(\tau) = \frac{C_{XX}(\tau)}{\sigma^2}.\,</math>
However, often the autocovariance is called autocorrelation even if this normalization has not been performed.
 
The autocovariance can be thought of as a measure of how similar a signal is to a time-shifted version of itself with an autocovariance of &sigma;<sup>2</sup> indicating perfect correlation at that lag. The normalization with the variance will put this into the range [&minus;1,&nbsp;1].
 
== Properties ==
The autocovariance of a linearly filtered process <math>Y_t</math>
:<math>Y_t = \sum_{k=-\infty}^\infty a_k X_{t+k}\,</math>
:is <math>C_{YY}(\tau) = \sum_{k,l=-\infty}^\infty a_k a^*_l C_{XX}(\tau+k-l).\,</math>
 
== See also ==
* [[Autocorrelation]]
 
== References ==
 
* P. G. Hoel, Mathematical Statistics, Wiley, New York, 1984.
* [http://w3eos.whoi.edu/12.747/notes/lect06/l06s02.html Lecture notes on autocovariance from WHOI]
 
<references />
 
[[Category:Covariance and correlation]]
[[Category:Time series analysis]]
[[Category:Fourier analysis]]

Revision as of 01:40, 3 January 2014

In statistics, given a real stochastic process X(t), the autocovariance is the covariance of the variable against a time-shifted version of itself. If the process has the mean E[Xt]=μt, then the autocovariance is given by

CXX(t,s)=E[(Xtμt)(Xsμs)]=E[XtXs]μtμs.

where E is the expectation operator.

Autocovariance is related to the more commonly used autocorrelation by the variance of the variable in question.

Stationarity

If X(t) is stationary process, then the following are true:

μt=μs=μ for all t, s

and

CXX(t,s)=CXX(st)=CXX(τ)

where

τ=st

is the lag time, or the amount of time by which the signal has been shifted.

As a result, the autocovariance becomes

CXX(τ)=E[(X(t)μ)(X(t+τ)μ)]
=E[X(t)X(t+τ)]μ2
=RXX(τ)μ2,

Normalization

When normalized by dividing by the variance σ2, the autocovariance C becomes the autocorrelation coefficient function c,[1]

cXX(τ)=CXX(τ)σ2.

However, often the autocovariance is called autocorrelation even if this normalization has not been performed.

The autocovariance can be thought of as a measure of how similar a signal is to a time-shifted version of itself with an autocovariance of σ2 indicating perfect correlation at that lag. The normalization with the variance will put this into the range [−1, 1].

Properties

The autocovariance of a linearly filtered process Yt

Yt=k=akXt+k
is CYY(τ)=k,l=akal*CXX(τ+kl).

See also

References

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