Autocorrelation
The autocorrelation function is a statistical measure that captures the correlation between different time-shifted samples of the process.
- positive correlation: both samples behave similarly
- negative correlation: samples behave as opposites
- no correlation: samples are unrelated
Autocorrelation of Xt is defined as:
RX (t, t+t) = E[(Xt -m)(Xt+t-m)]/E[(Xt -m)2]