Autocorrelation

Autocorrelation function $R_{yy}(t_1,t_2)$?

Autocorrelation function $R_{yy}(t_1,t_2)$?
  1. What is autocorrelation function formula?

What is autocorrelation function formula?

Definition 1: The autocorrelation function (ACF) at lag k, denoted ρk, of a stationary stochastic process, is defined as ρk = γk0 where γk = cov(yi, yi+k) for any i. Note that γ0 is the variance of the stochastic process.

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