Autocorrelation vs Autocovariance - What's the difference?
autocorrelation | autocovariance |
(statistics, signal processing) The cross-correlation of a signal with itself: the correlation between values of a signal in successive time periods.
* {{quote-book, 1990, K. Holden, D. Peel & John L. Thompson, Economic Forecasting
, passage=Dividing the covariances by the variance gives the autocorrelations .}}
(statistics) The covariance of a signal with another part of the same signal
As nouns the difference between autocorrelation and autocovariance
is that autocorrelation is the cross-correlation of a signal with itself: the correlation between values of a signal in successive time periods while autocovariance is the covariance of a signal with another part of the same signal.autocorrelation
English
Noun
(en noun)citation