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Concept
Autocorrelation
Summary
Autocorrelation, sometimes known as serial correlation in the discrete time case, is the correlation of a signal with a delayed copy of itself as a function of delay. Informally, it is the similarity between observations of a random variable as a function of the time lag between them. The analysis of autocorrelation is a mathematical tool for finding repeating patterns, such as the presence of a periodic signal obscured by noise, or identifying the missing fundamental frequency in a signal implied by its harmonic frequencies. It is often used in signal processing for analyzing functions or series of values, such as time domain signals.
Different fields of study define autocorrelation differently, and not all of these definitions are equivalent. In some fields, the term is used interchangeably with autocovariance.
Unit root processes, trend-stationary processes, autoregressive processes, and moving average processes are specific forms of processes with autocorrelation.
In statistics, the autocorrelation of a real or complex random process is the Pearson correlation between values of the process at different times, as a function of the two times or of the time lag. Let be a random process, and be any point in time ( may be an integer for a discrete-time process or a real number for a continuous-time process). Then is the value (or realization) produced by a given run of the process at time . Suppose that the process has mean and variance at time , for each . Then the definition of the auto-correlation function between times and is
where is the expected value operator and the bar represents complex conjugation. Note that the expectation may not be well defined.
Subtracting the mean before multiplication yields the auto-covariance function between times and :
Note that this expression is not well defined for all time series or processes, because the mean may not exist, or the variance may be zero (for a constant process) or infinite (for processes with distribution lacking well-behaved moments, such as certain types of power law).
Official source
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