Covariance vs Autocorrelation

1. Is covariance same as autocorrelation?
2. What is the difference between covariance and autocovariance?
3. How is autocorrelation different from correlation?
4. What does autocorrelation or autocovariance measure?

Is covariance same as autocorrelation?

Autocorrelation is the cross-correlation of a signal with itself, and autocovariance is the cross-covariance of a signal with itself.

What is the difference between covariance and autocovariance?

Covariance is defined for a pair of random variables defined on the same probability space. Autocovariance is defined for a pair of values in a discrete-time stochastic process.

How is autocorrelation different from correlation?

It's conceptually similar to the correlation between two different time series, but autocorrelation uses the same time series twice: once in its original form and once lagged one or more time periods. For example, if it's rainy today, the data suggests that it's more likely to rain tomorrow than if it's clear today.

What does autocorrelation or autocovariance measure?

The autocorrelation function calculates the similarity (correlation) of the values of a time series with its own lagged values, normed on the autocorrelation of the time series to itself. The series is lagged step by step and the correlation between the original and the shifted series is calculated.