Voigt profile: Difference between revisions
en>BattyBot m fixed CS1 errors: dates & General fixes using AWB (9832) |
|||
Line 1: | Line 1: | ||
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]] σ<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 σ<sup>2</sup> 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 <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 , then the autocovariance is given by
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:
and
where
is the lag time, or the amount of time by which the signal has been shifted.
As a result, the autocovariance becomes
Normalization
When normalized by dividing by the variance σ2, the autocovariance C becomes the autocorrelation coefficient function c,[1]
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
See also
References
- P. G. Hoel, Mathematical Statistics, Wiley, New York, 1984.
- Lecture notes on autocovariance from WHOI
- ↑ 20 year-old Real Estate Agent Rusty from Saint-Paul, has hobbies and interests which includes monopoly, property developers in singapore and poker. Will soon undertake a contiki trip that may include going to the Lower Valley of the Omo.
My blog: http://www.primaboinca.com/view_profile.php?userid=5889534