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Concept
Correlation function
Summary
A correlation function is a function that gives the statistical correlation between random variables, contingent on the spatial or temporal distance between those variables. If one considers the correlation function between random variables representing the same quantity measured at two different points, then this is often referred to as an autocorrelation function, which is made up of autocorrelations. Correlation functions of different random variables are sometimes called cross-correlation functions to emphasize that different variables are being considered and because they are made up of cross-correlations.
Correlation functions are a useful indicator of dependencies as a function of distance in time or space, and they can be used to assess the distance required between sample points for the values to be effectively uncorrelated. In addition, they can form the basis of rules for interpolating values at points for which there are no observations.
Correlation functions used in astronomy, financial analysis, econometrics, and statistical mechanics differ only in the particular stochastic processes they are applied to. In quantum field theory there are correlation functions over quantum distributions.
For possibly distinct random variables X(s) and Y(t) at different points s and t of some space, the correlation function is
where is described in the article on correlation. In this definition, it has been assumed that the stochastic variables are scalar-valued. If they are not, then more complicated correlation functions can be defined. For example, if X(s) is a random vector with n elements and Y(t) is a vector with q elements, then an n×q matrix of correlation functions is defined with element
When n=q, sometimes the trace of this matrix is focused on. If the probability distributions have any target space symmetries, i.e. symmetries in the value space of the stochastic variable (also called internal symmetries), then the correlation matrix will have induced symmetries.
Official source
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