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Concept
Autocovariance
Summary
In probability theory and statistics, given a stochastic process, the autocovariance is a function that gives the covariance of the process with itself at pairs of time points. Autocovariance is closely related to the autocorrelation of the process in question.
With the usual notation for the expectation operator, if the stochastic process has the mean function , then the autocovariance is given by
where and are two instances in time.
If is a weakly stationary (WSS) process, then the following are true:
for all
and
for all
and
where is the lag time, or the amount of time by which the signal has been shifted.
The autocovariance function of a WSS process is therefore given by:
which is equivalent to
It is common practice in some disciplines (e.g. statistics and time series analysis) to normalize the autocovariance function to get a time-dependent Pearson correlation coefficient. However in other disciplines (e.g. engineering) the normalization is usually dropped and the terms "autocorrelation" and "autocovariance" are used interchangeably.
The definition of the normalized auto-correlation of a stochastic process is
If the function is well-defined, its value must lie in the range , with 1 indicating perfect correlation and −1 indicating perfect anti-correlation.
For a WSS process, the definition is
where
respectively for a WSS process:
The autocovariance of a linearly filtered process
is
Autocovariance can be used to calculate turbulent diffusivity. Turbulence in a flow can cause the fluctuation of velocity in space and time. Thus, we are able to identify turbulence through the statistics of those fluctuations.
Reynolds decomposition is used to define the velocity fluctuations (assume we are now working with 1D problem and is the velocity along direction):
where is the true velocity, and is the expected value of velocity. If we choose a correct , all of the stochastic components of the turbulent velocity will be included in . To determine , a set of velocity measurements that are assembled from points in space, moments in time or repeated experiments is required.
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